1. Where could I find the historical final settlement prices of each contract month? 2. How do I calculate the settlement price of this contract month? Do I get it right? The price of CME fed rate futures is solely based on the averages from the table of Effective Federal Funds Rate published by Federal Reserve Bank Of New York. The settlement price of this month contract is going to be: 11/01 to 11/07: 4.83 11/08 to 11/30 (anticipated): 4.58 = 100 - ((4.83*7 + 4.58*23) / 30) = 100 - 4.638 (rounding to three decimal places) = 95.362 So it is 95.362, right? 3. The current bid/ask is 95.3600 and 95.3625. People who sell at the bid (lose 0.002 of contract value) and buy at the ask (lose 0.0005) are going to lose money. It's weird there are still a lot of trades. It seems there are even some new open contracts. Why do people are still trading even it is certain they are definitely going to lose money? Thanks a lot for your answer.
Well there is a difference. You could still win in individual bets (even though you are going to lose in the long run), but you are definitely going to lose money every time in the above case.