A Eurodollar (ED) futures contract is an interest rate derivative: it references a future three-month LIBOR interest rate. The futures quote is given by Q = 100 - R, where R is LIBOR; for example, a ED futures quote of 97.00 signifies an anticipated 3-month LIBOR of 3.00%. The contract price is designed so that a one basis point Δ in LIBOR corresponds to a $25.00 gain/loss on a single contract. The long (short) position gains (loses) $25.00 if LIBOR decreases (increases) by one basis point (0.010%). Finally, keep in mind that the LIBOR rate is expressed with an actual/360 day count (typical of money market instruments) with quarterly compounding.
David's XLS is here: https://www.dropbox.com/s/6g8gntgcvz6r8vc/090918-eurodollar-futures.xlsx
David's XLS is here: https://www.dropbox.com/s/6g8gntgcvz6r8vc/090918-eurodollar-futures.xlsx
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