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Derivatives

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  • November 11, 2021
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Futures Strip

A series of futures contracts with sequential delivery months. Most often, it refers to a series of interest rate futures such as Eurodollar futures. A futures strip can be constructed by entering into long positions in a sequence of Eurodollar futures (for example, an April ED futures, a July ED futures, and an October ED futures). In swap markets, short-dated interest rate swaps can be priced off a strip of successive Eurodollar futures contracts.


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