Eurodollar futures intraday prices (licensed)

Licensed: not exercised here

Intraday Eurodollar futures prices are a paid licensed product (CME Group via commercial intraday / tick feeds), so this page carries no provenance badge: the access path below was not run in this session. Daily settlement prices are public, but the high-frequency windows that make this dataset useful for policy-surprise identification are licensed. Treat it as unverified until someone exercises the intraday feed. This is the honest grade under the institute’s Verified discipline.

Eurodollar futures (CME Group) were exchange-traded contracts on the three-month USD LIBOR rate, with quarterly expiries stretching years out. The deferred contracts price the expected path of short rates, so the change in a Eurodollar futures price in a tight window around an FOMC announcement is a standard high-frequency monetary-policy surprise that strips out information known before the announcement. A paper we distill uses it: Stavrakeva & Tang build their policy-surprise instrument from the change in the fourth Eurodollar contract (ED4, expiring three quarters hence) over a one-hour window (15 minutes before to 45 minutes after) around FOMC and out-of-meeting QE announcements, using ED4 because it captures unconventional policy at the zero lower bound.

• Cost: daily settlement prices are public (CME); the intraday / tick history needed for event-window surprises is licensed via a data vendor.
• Vendor: CME Group (and commercial intraday redistributors).
• Coverage: quarterly Eurodollar contracts out several years, with the high-frequency series most useful from the 1990s onward.

Access (when licensed)

• Daily settlements are free; intraday is the licensed asset. Settlement prices are published by CME; the tick or minute-bar history around specific announcement timestamps is obtained through a CME data subscription or an intraday-data vendor.
• Keyed by contract and timestamp. An event-window surprise needs the contract price immediately before and after each announcement, so you need exact announcement timestamps aligned to the futures clock.
• Vendor credentials are required for the intraday feed. Keep any credentials in .env, never hard-coded.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented, not verified here.

• The contract is retired; mind the SOFR transition. With LIBOR’s wind-down, CME converted Eurodollar futures to SOFR futures (the conversion completed in 2023), and liquidity migrated well before that. Use the historical Eurodollar series for the in-sample period; for recent or forward analysis the comparable instrument is SOFR (or fed funds) futures, and the two are not interchangeable tick-for-tick.
• Which contract you pick is the identification choice. The near contract, ED4, or a bundle measure different things; at the zero lower bound the front contract barely moves while deferred contracts carry the unconventional-policy signal. State the contract and justify it (the citing paper uses ED4).
• Window width trades noise against contamination. Too narrow a window misses the price adjustment; too wide a window lets other news in. The 15-before / 45-after FOMC convention is common but a choice. Report robustness to the window.
• Timestamp alignment is fragile. Surprises are only as clean as the alignment between the announcement timestamp and the futures-feed clock (time zone, exchange versus wall clock, release-time revisions). A few seconds of misalignment around a release corrupts the surprise.
• Off-cycle announcements need hand-collected timestamps. Crisis-era QE and forward-guidance announcements made outside scheduled FOMC meetings are part of the signal but require event timestamps assembled by hand. Document the event list.

Citation

Cite the exchange and the intraday source, e.g.: Eurodollar futures (CME Group), intraday prices via [vendor], accessed YYYY-MM-DD. State the contract used (for example ED4), the event-window convention, and the announcement-timestamp source.