CME has confirmed they will convert Eurodollar futures and options to corresponding SOFR contracts on April 14, 2023. Contracts that expire before June 30, 2023 are excluded.
Transitioning from Eurodollar futures and options to SOFR – FAQ
SOFR Futures Settlement Calculation
You can link these 2 markets within UA using the Symbol Link utility as seen in the following form:
If you’re rolling on Open Interest, you’ll want to use the following link settings that specifies when the Open Interest of ED is surpassed by SR3, back on 2022/11/21. The setting used above link them too late, which causes the continuous contract to roll too early into a distant SR3 contract ( placing you in Dec 23, compared to Jun 23 w/ new settings ). This utility has been improved when clicking Merge on OI ( see link below ), so you may want to upgrade before making this link. ( Revised on June 23, 2023 )
