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Old 12-21-2010, 04:59 AM   #1

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Trading the Current Contract

Hi.

I'm sort of "new" when trading with futures.
I've always traded CFD's, but got tired of the big spreads when compared with futures spreads.

The problem that I'm having at the moment is the contract being traded.
There are those that are simple to understand. ES, NQ, YM, 6E. March is the contract being traded at this moment. No problem here.

But then we have the ones that confuses me, GC, CL, NG, ZW, ZC, ZS. I never know which contract/month is being traded at this moment.
For example, GC December contract is still being traded, despite last Friday had been a futures close day.

Where or how can I know the correct contract being traded?

Regards.
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Old 12-22-2010, 12:25 AM   #2

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Re: Trading the Current Contract

The correct answer is "all contracts that are trading are being traded", if being somewhat illiquid. Every contract has a "Last Trading Date" (LTD) but settlement/exchange for physical can also occur in the days after the LTD. In any case, the liquidity is terrible towards the end of each monthly delivery so you probably want to roll a week or more before the LTD. Use historical data to see where the volume begins to decline.

For physically settled contracts, you should also be aware of the "First Notice Date" (FND). Unless you are trading the physical, you don't want to be called to deliver. So roll to the next desired delivery.

Some contracts have "interstitital" or "minor" months that few people trade - this is especially the case with agricultural futures. eg. Corn - most people ignore January and November deliveries. You can easily see this by looking at volume and open interest.

It is important to understand the intricacies of each futures contract you trade. You should be familiar with the Contract Specifications too and understand the implications of limit moves.

The Contract Specifications are available from the exchange's web site.
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ptcman (12-22-2010)
Old 12-22-2010, 05:10 AM   #3

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Re: Trading the Current Contract

Quote:
Originally Posted by ptcman »
Hi.

I'm sort of "new" when trading with futures.
I've always traded CFD's, but got tired of the big spreads when compared with futures spreads.

The problem that I'm having at the moment is the contract being traded.
There are those that are simple to understand. ES, NQ, YM, 6E. March is the contract being traded at this moment. No problem here.

But then we have the ones that confuses me, GC, CL, NG, ZW, ZC, ZS. I never know which contract/month is being traded at this moment.
For example, GC December contract is still being traded, despite last Friday had been a futures close day.

Where or how can I know the correct contract being traded?

Regards.
Just to add to Richards post, when you say "currently traded" I think you mean "Front Month".
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ptcman (12-22-2010)
Old 12-22-2010, 06:17 AM   #4

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Re: Trading the Current Contract

Quote:
Originally Posted by estrader »
Just to add to Richards post, when you say "currently traded" I think you mean "Front Month".

Crude currently traded contract, the front month (?), is G, February, expiring on January 21st, correct?

I read that rollovers are made every Thursday's prior to the expiration week. It's logical do assume that from that day on, volume start to decline on that same contract, correct? So a week prior to the expiration we should switch contract to the new front month, though at least 'til the expiration day itself the volume should be sufficient to trade.

Can you explain what you meant when you said the implications that the limit moves can have? Are you talking about when an exchange suspend trading activity due to an excess volatility such the one seen at the May's flash crash?

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Old 12-22-2010, 04:19 PM   #5

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Re: Trading the Current Contract

You almost always want to be trading the contract with the most volume. MRCI reports yesterdays volumes for a wide range of futures and current contracts so you can use it to check that you're in the right contract and to roll over when it switches - make sure you know when they expire though so you can ensure you change in time.

Contracts Volumes and OIs

On some contracts (Asian 1 month index futures) the rolllover is 100% predictable with the contract expiring at the close of the day before the last business day of the month. In this case the afternoon has almost no volume and that morning the volume switches so you simply roll on the morning of the day before the last day of the business month.

For some (like ED say) you might find that the logical front month isn't it and everyone is trading December. So watch the volumes as well as applying any date based approaches.
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Old 12-23-2010, 07:01 AM   #6

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Re: Trading the Current Contract

I would suggest you put up a Matrix/Market Analyzer or whatever it is for charting software that will give you each market, last, net change, volume, etc in a table format and than put in current month contracts and next future month contract and compare volume. Here are a couple of websites that I use to get contract months and times market is trading. Gold trades in even months (Feb, April, etc)
Futures Contract Symbols

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