Business and Personal Finance Dictionary

# A B C D E F G H I J K L M N O P Q R S T U V W X Y Z 

• MID-CURVE OPTION
  
  A short-term American option on a CME-listed Eurodollar Futures Contract with delivery in one or two years. The crucial innovation here is that an ordinary CME Futures Option on the ED contract with delivery in one year (two years) expires in one year (two years), while the Mid-Curve Option initially expires in six months. Thus, the Mid-Curve provides a more focused (and less expensive) way to express a view on the news that develops in the next six months about the level of short-term interest rates that we will observe one or two years into the future. (Sources: Aaron Lucchetti, "Exotic Option Wins Followers on Wall Street," Wall Street Journal, 5/6/97. http://www.cme.com/market/interest/serialmc.html)
  
  Back