Global Macro Trading: Profiting in a New World Economy (Bloomberg Financial) by Greg Gliner

Author:Greg Gliner [Gliner, Greg]
Language: eng
Format: mobi
ISBN: 9781118417140
Publisher: Wiley
Published: 2014-05-19T23:00:00+00:00

Underlying Unit Interest on Fed funds having a face value of $5,000,000 for one month calculated on a 30-day basis at a rate equal to the average overnight Fed funds rate for the contract month.

Price Quote 100 minus the average daily Fed funds overnight rate for the delivery month (e.g., a 7.5% rate equals 92.75).

Tick Size (minimum fluctuation) Nearest expiring contract month: One-quarter of one basis point (0.0025), or $10.4175 per contract (1/4 of 1/100 of one percent of $5 million on a 30-day basis, rounded up to the nearest cent per contract). All other contract months: One-half of one basis point (0.005), or $20,835 per contract.

Contract Months First 36 calendar months.

Last Trading Day Last business day of the delivery month. Trading in expiring contracts closes at 4:00 P.M. on the last trading day.

Final Settlement Expiring contracts are cash settled against the average daily Fed funds overnight rate for the delivery month, rounded to the nearest one-tenth of one basis point. Final settlement occurs on the first business day following the last trading day. The daily Fed funds overnight rate is calculated and reported by the Federal Reserve Bank of New York.

Settlement Procedure Daily Fed funds Settlement Procedures (PDF)

Position Limits Current Position Limits

Block Minimum Block Trading Minimums

All or None Minimum All or None Minimums

Rulebook Chapter CBOT Chapter 22

Trading Hours (All times listed are Central Time) OPEN OUTCRY MON − FRI: 7:20 A.M. − 2:00 P.M. CME GLOBEX MON − FRI: 5:00 P.M. − 4:00 P.M.

Ticker Symbol OPEN OUTCRY FF

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