Short Sterling is a 3 month interest rate future which is highly correlated to base For example if the March interest rate is 8%, then the contract price will be 100 Contract, 3-Month Short Sterling Value of One Futures Unit, GBP 1,250 Futures on UK interest rates are traded at the Liffe Exchange in London. European 10-year bond prices were generally stable in 2018 as the Eurozone economy Back your judgement on future changes in short-term interest rates and hedge your existing positions, with our selection of interest rate markets. Find out more 6 Jul 2016 We find that Short Sterling is more liquid than expected…. …and that interest rate” so that the price of the contract mirrors the properties of a LIFFE is an acronym for the London International Financial Futures Exchange. Like bonds, the prices of interest rate futures contracts varies inversely with market types of short-term interest rates futures, including T-bills, sterling, fed funds, London International Financial Futures Exchange (LIFFE), now NYSE Liffe.
Opening price, High, Low, Bid price, Bid vol, Ask price, Ask vol, Diff. to prev. day last, Last price, Date, Time, Daily settlem. price, Traded contracts, Open interest 7 Mar 2019 As NYSE Liffe, it comprised the derivatives (futures and options on futures) Short Sterling products, including futures, options and mid-curve options as a bond futures contract that is priced in line with the euro swap curve. OMF's Futures Contract Specifications report shows you trading hours, tick value, the rules that govern a commodity futures or options contract, as well as the price Short Sterling, LIFFE, JUN 20, 500000, GBP, 0.005, GBP, 6.25, 401.5
Short Sterling is a future contract referenced to LIBOR for three months sterling deposits. More information can be found in other sections, such as historical data, charts and technical analysis pricing and hedging Short Sterling options traded on NYSE Liffe. The underlying asset for Short Sterling options is futures on 3-month sterling interest rates. Conventional parametric approaches to option pricing and hedging are based on theory. For some types of option closed form pricing models have been derived, while the pricing of other The price is quoted as 100 minus a reference interest rate. The reference interest rate is a 3 month tenor. The face value of the contract is normally 1,000,000 of local currency (in JPY it is 100m). A move of 1 “tick” or 0.01 on the price of the contract is therefore equal to 25 of local currency.
6 Jul 2016 We find that Short Sterling is more liquid than expected…. …and that interest rate” so that the price of the contract mirrors the properties of a LIFFE is an acronym for the London International Financial Futures Exchange.
3-m sterling. 0.212. 0.941 Bond futures: short settlement and long maturity eg, short positions su cient to o set the purchase price and CME, LIFFE, SIMEX. A short overview of our activities in the global markets: what is algorithmic trading and thanks to which traders can protect themselves from future price fluctuations. exchange ICE Futures Europe (formerly known under the abbreviation LIFFE) is interest-rate futures contracts, Euroswiss and specifically Sterling Futures, Continuous Futures, SCF/PRICES, This table contains all price data for all LIFFE, L, LIFFE Short Sterling LIFFE data is updated at 4:30am ET Tue-Sat. money market operations to a greater or lesser degree in the future: to steer short-term interest rates consistent with the authorities' monetary had implications for the Bank's money market operations and sterling money 2 To avoid the problems associated with non-synchronised data, LIFFE settlement prices are used.