Excuse my STIR ignorance As eurodollars near expiration, they approach spot rates. I know there is some variability as to how fast they approach spot rates, but if news and investor sentiment remains the same, do they increase in price, as expiration nears, at the same rate as if you had actually invested $1,000,000 at the spot rate? My thinking... Buy a eurodollar fut on $500 margin and hold for one month. Collect equivalent 0.3%p.a. (what ever libor is) on $1MM.. which is $250. Close position. A $250 gain on a $500 margin is 50% gain in one month, what am I missing?