Ja

tar ⌂, Gehinnom, Donnerstag, 19.09.2019, 23:58 (vor 1652 Tagen) @ stokk1092 Views
bearbeitet von unbekannt, Freitag, 20.09.2019, 00:05

Kann der Wert auch über 100 gehen?

20 Sekunden auf Google: https://www.cmegroup.com/education/files/eurodollar-futures-the-basics-file01.pdf, Seite 6, unter Bildchen und in Fußnote 11

"The CME Globex electronic trading platform (“CME Globex”) accommodates GE futures price levels that exceed 100 IMM Index points. It does not, however, permit price levels below zero. It is conceivable that IMM Index values could extend below zero, if market participants generally expected the contract interest rate to exceed 100 percent per year. In practice, this has occurred only rarely, in settings other than US money markets, eg, Russian bank loan markets in the early 1920s, or Chile in the mid-1970s. (See Sidney Homer, A History of Interest Rates, 2nd Ed, Rutgers University Press, 1977, Chapters 24 and 27.)"

Er kann also auch unter 0 fallen, wie auch eine ältere Version dieses Dokuments unter http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.392.7805&rep=rep1&type=pdf auf Seite 7 unterm Bildchen erläutert:

"The second feature is that, practically speaking, the futures price is bounded by a minimum of zero and a maximum of 100 points. As a purely theoretical matter these bounds are not strict. Futures price might exceed 100, but only if market participants broadly expect the corresponding three-month US dollar interbank deposit rate to be set at negative levels. Similarly, futures price might drop below zero, but only if the contract’s reference three-month interest rate were generally expected to exceed 100 percent per year."

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