A series of futures contracts with sequential delivery months. Most often, it refers to a series of interest rate futures such as Eurodollar futures. A futures strip can be constructed by entering into long positions in a sequence of Eurodollar futures (for example, an April ED futures, a July ED futures, and an October ED futures). In swap markets, short-dated interest rate swaps can be priced off a strip of successive Eurodollar futures contracts.
January 21, 2025
