I was wondering if any of the economics calenders you guys use shows previous contract expiration and rollover dates. The CME website won't show the past (Or at least I can't find it) - neither will my brokers' websites.
What I'm looking for are the past expiration and rollover dates on GC. For whatever reason, Gold has a very unusual calender system, at least different than other contracts. I have recently been using market replay nearly full time now, so this is what prompts the info... I've Googled all day, and can't come up with anything.
Gold and Silver Options Expiry
The gold price and the silver price movements near options expiry dates have attracted attention from some analysis. These analysts noticed a pattern where gold price and especially silver price regularly declines before options expiry. Such a price move causes many call options to expire worthless. They claim these moves are orchestrated to benefit the sellers of call the options.
Gold and silver options are options on gold and silver futures contracts. Gold and silver futures and options are traded on the New York Mercantile Exchange (NYMEX) and the Tokyo Commodity Exchange (TOCOM). NYMEX gold futures contracts (symbol GS) are for 100 troy ounces of 9995 gold. NYMEX silver contracts (symbol SI) are for 5,000 troy ounces of 999 silver.
NYMEX gold and silver options expire on the fourth business day prior to the future contractís delivery month. The settlement type of the option is the physical metal underlying the futures contract. Delivery may take place on any business day beginning on the first business day of the delivery month or any subsequent business day of the delivery month, but not later than the last business day of the current delivery month.
2011 gold and silver options expiration calendar:
Contract Month Expiry Date
January 12 December 2010
February 26 January 2011
March 23 February 2011
April 28 March 2011
May 26 April 2011
June 25 May 2011
July 27 June 2011
August 26 July 2011
September 25 August 2011
October 27 September 2011
November 26 October 2011
Decemeber 22 November 2011
The following user says Thank You to cory for this post:
You can see what NT thinks are the expiration dates in "instrument" file.
They are not always correct, but instead of asking me if I believe in Santa, maybe better is to insist on them to correct them. If you run back testing or replay on cross contract data, NT dates will make the change from one contract to another.