[Soultrader]

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.

[thrunner]

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:

[mister ed]

Thanks th - good info.
Rollover date remains Thur. 13 MAR 2008.

[BlowFish]

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.

[Tasuki]

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

[DugDug]

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.

[Tams]

Originally Posted by Tasuki »

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.

[Fat Tails]

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.

Originally Posted by Tasuki »

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