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Soultrader

Roll Over Days

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This reference applies to most futures traded on the Chicago Mercantile Exchange and the Chicago Board of Trade.

 

  • Rollover is 8 days before contract expiration.
  • Rollover is usually on the second Thursday of every month. However, if the first day of the month is a Friday, the rollver day will be the first Thursday of the month.
  • Expiration day is the 3rd Friday of the following months: March, June, September, and December.
  • The contracy symbol associated with the expiration months are: March = H, June = M, September = U, December = Z. For example, the emini S&P symbol is the ES. So the symbol the emini S&P December contract would be ESZ06. (06 being the year)
  • Liquidity of the contract will shift on the rollover date. Make sure you trade the correct contract. You should be able to notice by the lack of liquidity in your underlying instrument.
  • If you are swing or position trading several days before rollver, make sure to use the newer contract instead.

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Change to March 2008 Contract Expiration Date Due to

Good Friday Holiday

Because the Good Friday exchange holiday coincides with the third Friday of March (the standard March

quarterly expiration date), March 2008 CME Group Equity index futures and options will expire on

Thursday, March 20, 2008 instead of Friday, March 21, 2008. Specifically:

• The open outcry trading of expiring contracts will conclude at the close of the regular trading

hours on Wednesday, March 19, 2008.

• Trading of expiring E-mini equity index futures and options contracts will conclude prior to the

open of regular open outcry trading hours on Thursday, March 20, 2008. Expiration dates/times

by contract are provided below:

5aa70e42891b9_CMEchangeH82008-03-02_212359.png.c54415afb57c412c0d54b7f886cff590.png

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Im sure anyone trading the DAX would know this but highest volume is often done on the old contract right up to lunchtime of the expiration day! ot sure about other Eurex instruments.

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Question about rollover dates for some commodities, bonds, forex futures contracts.

Ordinarily, I just trade the ES, and every monkey and his uncle knows when rollover is for the ES (it's today!). However, I've just started using Ninjatrader, and I have been playing with a few other contracts. I vaguely remember that some futures contracts don't rollover the same way that the ES does, but rather they have two month cycles rather than three month cycles like the ES. If anyone has the correct scoop (or knows where to find it) for the following contracts, I'd be very grateful:

CL--crude oil

GC--Comex gold

ZB--thirty year bonds

6E--futures of EURUSD forex pair

6S--futures of USDCHF forex pair

 

Thanks, Tasuki

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each contract and each trader will have different methods of how and when to roll over... not just based on volume.

The exchanges and your broker should have the last "tradeable" dates for each contract.

eg; IB have different days for longs and shorts in something like the ZN - if i remember correctly.

There will be no substitute building your own small database of this type of information....dont rely on others. get the info from your broker and the exchange.

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Question about rollover dates for some commodities, bonds, forex futures contracts.

Ordinarily, I just trade the ES, and every monkey and his uncle knows when rollover is for the ES (it's today!). However, I've just started using Ninjatrader, and I have been playing with a few other contracts. I vaguely remember that some futures contracts don't rollover the same way that the ES does, but rather they have two month cycles rather than three month cycles like the ES. If anyone has the correct scoop (or knows where to find it) for the following contracts, I'd be very grateful:

CL--crude oil

GC--Comex gold

ZB--thirty year bonds

6E--futures of EURUSD forex pair

6S--futures of USDCHF forex pair

 

Thanks, Tasuki

 

ALWAYS ALWAYS ALWAYS get these kind of information from the SOURCE. (ie the exchange)

 

NEVER NEVER NEVER EVER rely on information from a stranger on an anonymous forum.

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Good question:

 

For CME FX futures rollover is 9 days prior to last trading date. Last trading is the 3rd Wednesday of the expiration month, so rollover date is usually the Monday prior to the 2nd Wednesday of the expiration month. Rollover date is fixed by the exchange. Further details can be found here:

 

FX Quarterly Roll Dates

 

For ZB there is a different situation. Last trading date is on the 7th business day preceding the last business day of the contract month. However, first notice day usually is the last business day of the month prior to the contract month, which is much earlier. Being long you would not want to run the risk being assigned by a clearing house to fulfill a buy contract. Thus you would roll your position before notice day. I think that many brokers will force you to do this. Volume also shifts to the new contract on the first notice day.

 

For the purpose of backadjusting futures you would take the first notice day as the first day of the new contract. First notice days for ZB can be found here:

 

30-Year U.S. Treasury Bond

 

Gold futures are similar to interest rate futures. The contract months to look at are February, April, June, August and December. Actually I do not know why October is not liquid. The first notice day is usally around the 28th of the month prior to expiry, and volume shifts to the new contract on first notice day. So again you would want to roll on the day prior to first notice. Here are the first notice dates for GC:

 

Gold

 

CL is monthly rolled. As far as I know there is no specific rule for the best rollover date, but I have found that volume shifts from the old to the new contract between two and four days prior to the last trading date. I would be extremely careful to trade the old contract during the days prior to expiration. The spot market has a considerable impact on the price of the expiring contract, so it might diverge considerably from the price of the new contract. Another problem is that CL has a delivery place somewhere in the middle of nowhere, so it might get extremely difficult to deliver oil to or evacuate oil from that place.

 

On September 23, 2008 crude prices rose over 16% on a single day, as reported by many business newspapers. Actually this rise only occured in the October (front month) contract just a few days prior to expiration, while the November contract only rose about 6.4 %. If you had not rolled your short position of CL 10-08 on the morning of September 23, 2008 to CL 11-08, you might easily have blown your account.

 

Below I have attached a chart of the first to second month crude spread that documents the repeatedly erratic behaviour of the spread around rollover dates. CL is certainly not as well behaved as the financial futures, so you should have an eye at the spot market and logistics as well, if you dare trading them.

 

Question about rollover dates for some commodities, bonds, forex futures contracts.

Ordinarily, I just trade the ES, and every monkey and his uncle knows when rollover is for the ES (it's today!). However, I've just started using Ninjatrader, and I have been playing with a few other contracts. I vaguely remember that some futures contracts don't rollover the same way that the ES does, but rather they have two month cycles rather than three month cycles like the ES. If anyone has the correct scoop (or knows where to find it) for the following contracts, I'd be very grateful:

CL--crude oil

GC--Comex gold

ZB--thirty year bonds

6E--futures of EURUSD forex pair

6S--futures of USDCHF forex pair

 

Thanks, Tasuki

crudecontango.jpg.74113cc9885c015eec23245101a882b5.jpg

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Fat Tails,

Thanks for the extremely valuable information, and the links as well. From your description, my fears about getting the rollover wrong were well founded. Just goes to show, you shouldn't trade anything live that you don't understand thoroughly. On the other hand, I guess one could trade any of these contracts intraday without worrying about rollovers. Even then, I guess, you'd want to be careful not to get caught in a low volume contract month.

Tasuki

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Hi Tasuki,

 

your conclusion is absolutely correct. Low volume is one of the threats. Another one is the impact of the spot market for metals, oil and agriculturals. This may increase volatility and create wild gyrations of price prior to expiration. For fininancial futures there is less risk, because physical delivery has a lesser impact.

 

Besides there is a small mistake on my previous post :embarassed:, so let me correct it here:

 

Expiry for CME FX futures is not the 3 rd Wednesday of the contract month, but the 2nd business day prior to the 3rd Wednesday. This is usually a Monday. Rollover date is 5 business days prior to this date, also usually a Monday. If you want to get the correct dates, do what Tams said: Always go to the source. This is the website of CME Group!

 

 

Fat Tails,

Thanks for the extremely valuable information, and the links as well. From your description, my fears about getting the rollover wrong were well founded. Just goes to show, you shouldn't trade anything live that you don't understand thoroughly. On the other hand, I guess one could trade any of these contracts intraday without worrying about rollovers. Even then, I guess, you'd want to be careful not to get caught in a low volume contract month.

Tasuki

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Hi Tasuki,

 

your conclusion is absolutely correct. Low volume is one of the threats. Another one is the impact of the spot market for metals, oil and agriculturals. This may increase volatility and create wild gyrations of price prior to expiration. For fininancial futures there is less risk, because physical delivery has a lesser impact.

 

Besides there is a small mistake on my previous post :embarassed:, so let me correct it here:

 

Expiry for CME FX futures is not the 3 rd Wednesday of the contract month, but the 2nd business day prior to the 3rd Wednesday. This is usually a Monday. Rollover date is 5 business days prior to this date, also usually a Monday. If you want to get the correct dates, do what Tams said: Always go to the source. This is the website of CME Group!

 

FT, could you explan for us exactly what the "spot market" is? I have heard this term for years and years and I still don't know what it is, and how it differs from the futures contracts of agriculturals, oil and metals that we all trade. Many thanks,

Tasuki

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Tasuki -

please take this in a positive light.....

1) google it.

2) if you have been trading futures contracts and for years and years and have never bothered to find out about the spot market even though you have heard about it..... I can only shake my head and realise why many people loose money..... they dont even know what they are trading.

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This answer is correct, but does not help Tasuki, LOL.

 

Tasuki -

please take this in a positive light.....

1) google it.

2) if you have been trading futures contracts and for years and years and have never bothered to find out about the spot market even though you have heard about it..... I can only shake my head and realise why many people loose money..... they dont even know what they are trading.

 

Futures contracts are contracts where you buy or sell a commodity at a given price to be delivered at a future date, the delivery date. You do not pay the good to be delivered, when entering the contract, but you are credited and debited daily price differentials.

 

Futures were invented in Japan in the 17th century to protect rice farmers against falling and merchants against rising prices. There was certainly a physical rice market where farmers sold rice "on the spot", before the futures market developped. The spot market ois the market place, where a physical commodity is sold and purchased.

 

Let us take gasoil for example. There are large oil companies/producers and(or traders that sell gasoil (diesel or heating oil) ex refinery or ex port. Traders, retail companies and large industrial consumers buy the stuff. Now this is traded all over the world, so you do not have a centralized market place. The spot market is therefofe dispersed. So - similar as for LIBOR - you need a service company to call all the market participants and collect the spot prices. Then the daily spot price is for example published as "Platt' Cargo CIF High" or "PCCH" for Northwestern Europe. This is the spot price. Then you have derivatives exchanges that offer contracts on futures on gasoil. You would look here at the gasoil contracts COIL (IPE) and HO (NYMEX). The futures contracts are traded on an exchange, so it is easier to catch the price of these, compared to the average price of all the spot transactions that occur in all major ports of the world. The futures exchanges often allow you to enter in a contract exchange for physical. In this case you will swap you futures position for a swap position. This is convenient for both parties as they will stay hedged against price risk during the transaction.

 

Another example is FOREX. There is no central FOREX market, but the spot market is dispersed, so if you compare two different retail FOREX brokers, they may not have the same quotes, because they adhere to different clearing systems. The currency futures traded at CME are exchange traded, so this again is a centralized market with prices easier to follow than for a large variety of market places.

 

In general, for financial futures the spot markets do not have a large imapct during the rollover period, because arbitrage is quite easy and does not involve physical handling, storage and transportation of the underlying. The only turmoil that might be created is the options expirations issue, but the impact is small if compared to the risks associated with the spot market for commodities.

 

Imagine again a squeeze in the expiring crude contract, because shorts cannot deliver and price shoots up An arbitrageur would actually need to buy cheap crude oil in a harbour place and deliver this via pipeline to Cushing, Oklahoma to benefit from the high price of the expiring futures contract. This can scarcely be done with a few days left to expriy, so arbitrageurs cannot stabilize the price. If an expiring index future is overpriced, it is easy for any large bank to buy the underlying shares and deliver them at expiry. So you won't see ES going wild prior to expiry in a way CL sometimes does.:D

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Hi Fat Tails while any info is good (so long as its accurate :)), and every one appreciates it, I would have thought my advice is actually very helpful.

It may not have actually answered his question but I hope he can appreciate the advice. (It was probably a little harsh maybe)

 

I think the recent sub prime example (regardless of who why what caused it) really should be enough of a reminder that we should understand the underlying basis of the instruments you trade - even if only a good grasp of the basics. You may not need to know the ins and outs of the crude oil spot market, but to have been wondering about the spot market for years - that was what sparked my response.:)

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I have attached a word document that has some information for futures, rolling and longer term trading issues regards backtesting and the effect of backwardation and contango.

 

It is simple and general - if you dont agree with it or would like to add to it feel free to download it, amend it and upload it, noting the changes in the thread....so its a free and open discussion.

I hope it helps anyone get started in answering some questions regards the issue.

futures and rolling.doc

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Good thread, something all Futures traders should be aware of. Holding an E-mini contract past expiration is bad enough but holding a physically delivered contract such as Crude or Gold can be disastrous.

 

The CME has a product calendar for all contracts, this will tell you the last trading date and the settlement date.

 

CL -

Light Sweet Crude Oil

 

GC - Gold

 

ZB -

U.S. Treasury Bond

 

6E -

EUR/USD

 

6S--

CHF/USD

 

Although the near month is usually the most liquid, this is not always the case. Take Gold for example, the near month is June, but the most liquid contract is the August 2010 expiration. Gold

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Good thread, something all Futures traders should be aware of. Holding an E-mini contract past expiration is bad enough but holding a physically delivered contract such as Crude or Gold can be disastrous.

 

Probably why many brokers will simply close out and flatten your position on first notice day. Transact/Infinity is one such....

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If you have a short position, the danger is not only holding past expiration, but also holding past first notice day, because you may be assigned for physical delivery prior to expiration, depending on the contract details. Often the first notice day is prior to expiry.

 

So you need to roll prior to expiry and first notice day - whatever comes first!

 

Holding an E-mini contract past expiration is bad enough but holding a physically delivered contract such as Crude or Gold can be disastrous.

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Good point! I would recommend rolling over about a week prior to expiration if you want to keep the position, usually liquidity shifts to the next expiration several days before the contract expires or first notice anyway.

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This reference applies to most futures traded on the Chicago Mercantile Exchange and the Chicago Board of Trade.

 

  • Rollover is 8 days before contract expiration.
  • Rollover is usually on the second Thursday of every month. However, if the first day of the month is a Friday, the rollver day will be the first Thursday of the month.
  • Expiration day is the 3rd Friday of the following months: March, June, September, and December.
  • The contracy symbol associated with the expiration months are: March = H, June = M, September = U, December = Z. For example, the emini S&P symbol is the ES. So the symbol the emini S&P December contract would be ESZ06. (06 being the year)
  • Liquidity of the contract will shift on the rollover date. Make sure you trade the correct contract. You should be able to notice by the lack of liquidity in your underlying instrument.
  • If you are swing or position trading several days before rollver, make sure to use the newer contract instead.

 

Thank you for reminding.

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