30-Day Federal Fund Futures - Get current 30-Day Federal Fund futures prices, quotes, charts, 30-Day Federal Fund futures contract specifications & news.
Chart of 30-Day Federal Fund Futures futures updated December 29th, 2023. Click the chart to enlarge. Press ESC to close.
Disclaimer: This material is of opinion only and does not guarantee any profits. These are risky markets and only risk capital should be used. Past performances are not necessarily indicative of future results.
|
|
| Product Symbol | ZQ |
|
|
| Contract Size | The unit of trading shall be interest on Fed Funds having a face value of $5,000,000 or multiples thereof 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 Quotation | Prices will be quoted on an index basis: 100 minus the monthly average overnight Fed Funds rate (e.g., a rate of 6.50% is quoted at 93.50). |
|
|
| Venue | CME Globex, Open Outcry (New York) |
|
|
| CME Globex Hours (EST) | SUN - FRI: 5:30 p.m. - 4:00 p.m. |
|
|
| Open Outcry Hours (EST) | MON - FRI: 7:20 a.m. - 2:00 p.m. |
|
|
| Minimum Fluctuation | For the nearest expiring contract month, the minimum price fluctuation shall be in increments of one-quarter of one-hundredth of one percent of five million dollars on a 30 day basis ($10.4175 per one-quarter basis point), rounded up to the nearest cent. For all other contract months, the minimum price fluctuations shall be in increments of one-half of one-hundredth of one percent of five million dollars on a 30 day basis ($20.835 per one-half basis point), rounded up to the nearest cent. |
|
|
| Termination of Trading | The last day of trading shall be the last business day of the delivery month. After trading in contracts for future delivery in the current delivery month has ceased, outstanding contracts for such delivery shall be liquidated by cash settlement as prescribed in Rule 22103. |
|
|
| Listed Contracts | First 36 calendar months. On the last day of trading in an expiring future, the expiring future shall close at 4:00 p.m. Chicago time. |
|
|
| Delivery | Delivery against 30-Day Fed Fund futures contracts shall be made by cash settlement through the Clearing House following normal variation margin procedures. The final settlement price will be calculated on the business day that the Federal Reserve Bank of New York releases the overnight Fed Funds rate for the last day of trading. The final settlement price shall be 100 minus the average daily Fed Funds overnight rate for the delivery month. On the last day of trading open contracts will be marked to market based on the 2:00 p.m. futures price. A final mark to market will be made on the day the final settlement price is determined. |
|
|
| Settlement Procedures | The daily settlement procedures for 30-Day Fed Fund Futures are as follows: First Four Listed Contract Months and All Other Contract Months With Open Interest of At Least 10,000 Contracts Entering the Session CME Group Staff will establish the daily settlements within the Globex bid/offer range at 2:00 p.m. CT., in accordance with the following procedures: 1.) The contract month will settle at the midpoint of the bid/offer at 2:00 p.m CT, provided that the quantity on both the bid and offer are 50 or more contracts. In the event that the midpoint of the bid/offer does not result in a trade-able tick, the threshold of 50 will be used to determine whether to settle towards the bid or offer. Example: The prior day’s settlement was 99.79 and the market in the December contract at 2:00 p.m. CT is 99.80 bid, while the offer is 99.805. If the volume on the bid is 300 and the volume on the offer is 50, the December will settle at 99.80 because the threshold for both the bid and offer was met, and the 99.80 bid is closer to the previous day’s settlement of 99.79. Given the same scenario, but the volume on the bid is 300 and the volume on the offer is 49, the December will settle at 99.805 because the threshold for the offer was not met and therefore, settlement is mid-market of 99.80/99.81. 2.) The settlement will be final provided that these settlements do not penetrate bids or offers in the following condition: An existing consecutive month calendar spread of 100 or more contracts. Note: As a result of the expiring contract month being .25 tick eligible, implieds are turned off for the outright and any calendar spread associated with that month. Therefore, no adjustments will be made for any calendar that includes the expiring outright contract month. All Other Contract MonthsCME Group Staff will establish the daily settlement for all other months consistent with the net change of the immediately preceding expiration month, provided that such settlement does not penetrate an existing Globex bid or offer of 25 or more contracts at 2:00 p.m. In the event that anomalous activity (including bids and offers entered without allowing market participants sufficient time prior to 2:00:00 p.m. to respond) affects the settlement determination, CME Group Staff, in its sole discretion, may establish a settlement price independent of the criteria referenced above. |
|
|
| Rulebook Chapter | 22 |
|
|
| Exchange Rule | These contracts are listed with, and subject to, the rules and regulations of CBOT. |
