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The Eurodollar Futures and Options Handbook by Galen Burghardt

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CHAPTER 13Hedging and Trading with Eurodollar Stacks, Packs, and Bundles

Galen Burghardt, George Panos, and Fred SturmResearch note originally released December 15, 1999

SYNOPSIS

Eurodollar futures are the financial building blocks of the dollar interest rate market. With 40 quarterly contract expirations, the Eurodollar futures contract complex is a financial engineer’s dream. One can create or offset exposure to forward interest rates in 3-month segments out to a horizon of 10 years.

In practice, though, the flexibility afforded by individual contract expirations comes at a cost that is not always warranted. In many cases, traders and hedgers find it better to put all their eggs in one basket and use a single contract month (a stack). Or they ...

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