The following Eurodollar futures contract is quoted in the Wall Street Journal:
$\begin{array} {llll }
& \text {Open }& \text { high}& \text {low }& \text {settle }& \text {ohg }\
\text {Mar 10 }&93.56&93 .62 & 93.53 & 93.59&\dots\
\end{array}$

-Next day,the implied 3-month LIBOR yield drops by 0.10%.What is the new settlement price?
A) 93.49
B) 93.59
C) 93.69
D) cannot be determined

Question

The following Eurodollar futures contract is quoted in the Wall Street Journal:
$\begin{array} {llll  } 
& \text {Open }& \text { high}& \text {low }& \text {settle }& \text {ohg }\
\text {Mar 10 }&93.56&93 .62 & 93.53 & 93.59&\dots\
\end{array}$

-Next day,the implied 3-month LIBOR yield drops by 0.10%.What is the new settlement price?
A) 93.49
B) 93.59
C) 93.69
D) cannot be determined

Quizplus · Accepted Answer

Eurodollar futures prices are quoted as 100 minus the implied 3-month LIBOR interest rate. A drop in the LIBOR yield by 0.10% (or 10 basis points) means the futures price would increase by 0.10. Therefore, the new settlement price would be 93.59 + 0.10 = 93.69.

The Following Eurodollar Futures Contract Is Quoted in the Wall