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Rollover dates for GC, SI, ZC and ZS


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Rollover dates for GC, SI, ZC and ZS

  #1 (permalink)
chuso
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Can anyone tell me if there are some rules to fix the roll over date on these futures?

GC, SI, ZC and ZS.

like we have in ES, FDAX or FGBL for example?

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  #3 (permalink)
 
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 Fat Tails 
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chuso View Post
Can anyone tell me if there are some rules to fix the roll over date on these futures?

GC, SI, ZC and ZS.

like we have in ES, FDAX or FGBL for example?

@chuso: For index Futures and interest rate futures there are indeed known rollover dates.

For commodity futures this is not the case, but most participants roll according to volume or open interest crossover.


Agriculturals

If you roll a contract to a new delivery month, this may be a different crop with entirely different conditions for supply and demand. In case that the harvest in 2012 was not good, this does not mean that the harvest 2013 will be bad as well. Agriculturals are perishable goods, and if they are stocked until the expiry of the contract, you may well have a different product.

I do not think that there are any precise rollover dates for agriculturals. Volume tends to shift to the new front month contract 1-10 days prior to first notice day.


Metals

For metals the situation is much easier.

For the gold contract there is a known first notice date. For the current front month GC 02-13, the first notice date is January 31st. Gold futures typically roll 1 or 2 days prior to first notice day.

The metal does not perish, it is basically a financial contract and the rollover gap does not depend on the day on which you roll, pretty much as you would observe for other financial futures.

Silver and copper futures also roll 1 or 2 days prior to first notice date, so all you need to do, is to look up those dates and roll accordingly.

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  #4 (permalink)
mwtzzz
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The CME website and/or your broker will give you the information on this.

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  #5 (permalink)
FFTrader
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A late reply but just found out about this CME Group's website on expiration:

https://www.cmegroup.com/tools-information/calendars/expiration-calendar/


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 Fat Tails 
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FFTrader View Post
A late reply but just found out about this CME Group's website on expiration:

https://www.cmegroup.com/tools-information/calendars/expiration-calendar/


The original question was on rollover dates. The website information is limited to official dates such as last trade date and first notice date.

Rollover date should always be prior to first notice and last trade date.

Therefore this information helps to put a deadline on the rollover date, but you still need to fix a rollover date based on other criteria such as volume crossover or open interest crossover.

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 Bookworm 
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CME does not post an official rollover date for energy and metal contracts like it does for stock index futures. Generally trading volume shifts to the next active futures as mentioned above: a day or two before first notice day. You need to watch where the volume is and where the best bid/offer spread is before first notice day to decide when to switch.

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  #8 (permalink)
FFTrader
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Bookworm View Post
CME does not post an official rollover date for energy and metal contracts like it does for stock index futures. Generally trading volume shifts to the next active futures as mentioned above: a day or two before first notice day. You need to watch where the volume is and where the best bid/offer spread is before first notice day to decide when to switch.

Thanks. Been off this forum for too long of a while and now found that it is at a different web URL all together.

Yes, now I look at the volume traded.

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 Audray 
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chuso View Post
Can anyone tell me if there are some rules to fix the roll over date on these futures?

GC, SI, ZC and ZS.

like we have in ES, FDAX or FGBL for example?


Hello,

Please, can someone confirm if these are the rollover months for Gold:

February 02
April 04
June 06
August 08
December 12.

Thank you!

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