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Contract Periods
Started:September 10th, 2013 (12:47 PM) by ac2000 Views / Replies:418 / 3
Last Reply:September 10th, 2013 (03:14 PM) Attachments:0

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Contract Periods

Old September 10th, 2013, 12:47 PM   #1 (permalink)
Trading Apprentice
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Contract Periods

Hi Everyone,

I'm posting this because i'm having a bit of confusion regarding contract periods.

I saw that the last trading day for the 10 Year T Bills is September 19th. However, i was wondering when i can start trading the December Futures.

Right now i have a simulator account with E-Trade as well as TOS. On TOS i can trade December but on E-Trade they only offer September right now.

Can anyone explain how it works as far as when a contract period is ending and when you can trade the next period.

I appreciate it.

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Old September 10th, 2013, 12:47 PM   #2 (permalink)
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Old September 10th, 2013, 01:00 PM   #3 (permalink)
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Most people look at when the daily volume over takes the previous contract. Once that happens you really don't want to be the old contract because the algos start playing their little games and some crazy stuff can happen once volume drops sufficiently.

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Old September 10th, 2013, 03:14 PM   #4 (permalink)
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For some futures contracts there are "official" rollover dates, and for other futures contracts you would roll according to volume or open interest crossover.

All financial futures - this includes equity index futures, interest rate futures and currency futures - have "official" rollover days. The key to understand the necessity to roll, is the first notice day.

If you have a long futures position, there is a risk that you may get delivered, if you hold your position until expiry. This is something that you do not want. You do not want to purchase US Treasury Notes with a face value of $ 1,000,000 - but you would rather exit your futures position. Let me remind the contractual terms:

First position day: The first day on which an investor who is short futures may notify the clearing corporation of an intention to deliver the commodity or underlying.

First notice day : The first day on which a clearing house may inform an investor that it intends to make delivery of a commodity or underlying.

This means that if you hold a long position in a futures contract on first notice day, you run the risk to get delivered. Therefore you need to roll your position prior to first notice day.

For the september 10-year treasury note futures (ZN 09-13) first notice day was August 30, 2013. This is typically the day, when volume shifts to the new front month contract. You may therefore consider for interest rate futures

rollover day = first notice day and in any case you should roll prior tofirst notice day, if you do not wish to take a delivery.

The first notice day for ZN is part of the contract specifications and you can easily find it in the product calendar on the CME website.

Last edited by Fat Tails; September 10th, 2013 at 03:36 PM.
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