Working Paper 286
Bob Jensen at Trinity University
Exhibit 1
MarginOOPS Bank
Reproduced from Page C18 of the Wall Street Journal, June 17, 1999
EURODOLLAR CME Interest Rate Futures
$ Million; pts. of 100%; LIBOR = 5.18% on June 17
Month | Open | High | Low | Settle | Yield |
July 1999 | 94.68 | 94.72 | 94.68 | 94.71 | 5.29 |
Aug | 94.65 | 94.65 | 94.63 | 94.63 | 5.37 |
Sept | 94.53 | 94.58 | 94.52 | 94.56 | 5.44 |
Oct | 94.32 | 5.68 | |||
Nov | 94.30 | 94.30 | 94.30 | 94.30 | 5.70 |
Dec | 94.15 | 94.25 | 94.14 | 94.21 | 5.79 |
Mar 2000 | 94.08 | 94.18 | 94.07 | 94.13 | 5.87 |
June | 93.86 | 93.97 | 93.85 | 93.92 | 6.08 |
Sept | 93.68 | 9..80 | 93.68 | 93.75 | 6.25 |
Est. vol. 512,755 Tuesday (June 16, 1999) 376.319
open int 3,343,614 -- 13,683