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Clarify confusion regarding futures trading months and number of back months
Hi, I've searched online (perhaps not with the optimal search terms?) and on the forum but haven't found a similar question. As such, I'll ask it in this thread:
I have lots of questions about two broad categories: A) the contract months jargon found in the contract specs or rulebook for futures, and B) the rule regarding the number of back months for any futures instrument.
I should be more specific regarding (A): for instance, the ES rule says "Trading months: Five months in the March Quarterly Cycle (Mar, Jun, Sep, Dec)". I see only four months (Mar, Jun, Sep, Dec), so where's the fifth month? Why call it a quarterly cycle if there is a fifth month?
Gold is also puzzling. As stated in rule 113102 for NYMEX: "Trading in Gold futures is regularly conducted in the following months: (1) the current calendar month; (2) the next two calendar months; (3) each February, April, August and October falling within a 23-month period beginning with the current calendar month; and (4) each June and December falling within a 72-month period beginning with the current calendar month. The number of months open for trading at a given time shall be determined by the Exchange." One confusion is with rule (1) for Gold futures; does not this mean that there is a Gold futures contract for every month because every month is eventually a "current" month at some point? Also, what is meant by, "The number of months open for trading at a given time shall be determined by the Exchange"? Does this mean that the number of back months is not set in stone? If so, then in practice how often do the number of back months change?
Corn futures' rule book says it trades regularly in Sept, Dec, Mar, May, and July. Are there ever months that don't fit those "regular" times? If so, is there a way to know in advance?
US bonds futures says: "...the exchange will customarily list for trading five consecutive expiries in the Mar-Jun-Sept-Dec quarterly cycle." The way I understand this is that there are only four back months and one front month at all times for US bonds. Is this correct?
Regarding subject (B), do the number of back months for a given futures instrument differ - and are there rules for each instrument? If so, where can I find these rules?
Can you help answer these questions from other members on NexusFi?
Hi, I don't have confusion regarding rolldates or expirations. But, I checked both keywords and more than half, if not all but two or three, of the resulting threads. I didn't find what I'm looking for there.
Do indicies and financials always trade four months of the year (or are there exceptions)? Same goes with all other class of futures, e.g. metals, energies, etc. Well, not energies because that one is easy: they trade every month of the year. The reason I am confused is because in some data I found online there are exceptions. I want to know if those exceptions (e.g. an odd fifth month of trading, or even sixth month of trading for US 30-year bonds in 1980) really existed or if this is a case of corrupt data.
How many available back months are there for each class of futures? Or does that change all the time? Is it a number that is not set in stone, i.e. the exchange can change it at whim?
Should I be asking this in another forum, e.g. commodities futures trading? If so, would you move it there please?
bump.
Is it that no one knows the answer to this or are the questions unclear?
Mike, would you please move this to the "commodities futures trading" forum?
I can answer your questions
I will start with the first question, ES is a contract that exists with different expiry dates.
The 5 refers to the simultaneous trading of 5 different months.
Hence you have 5 months, rolling wave forward, as follows
ES 09-14
ES 12-14
ES 03-15
ES 06-15
ES 09-15
There is one contract that is called the active contract, where the bulk of the trading happens.
As you can see on this overview :
Probably this will enlighten you and you might be able to answer all the other questions once
you understood this first answer... It's logic, but the jargon is, well it's the jargon...
Thank you for your quick response. OK, I had understood that much about ES. I wanted to confirm that it does not trade any other months because I couldn't be too sure.
(bold added to the quote)
Perhaps if I say how I understand the above quote, then someone can correct me if I'm wrong.
I understand it as: gold trades every calendar month of the year.
Why I don't think that is a correct interpretation of rule (1) in the above quote is because gold seems to not trade in January, among other months, when seen historically. For instance, when I look at some open historical data on gold futures, January is missing every year since the 1970s.
Does anyone know why there is a discrepency between the rule and the months gold actually trades? I must be misinterpreting the rule because it seems strange to think the rule is either not followed or that it is wrong.
