This post has been selected as an answer to the original posters question
I guess what you really look for is an appropriate rollover date, as you do not want to run the risk to be assigned for delivery (short) or to be forced to deliver (long).
For futures you would have to look at expiry date and first notice day.
If you hold a short position on first notice day, you may be assigned by the exchange to receive a delivery. Do you really want that bulk of cattle? So you should exit any short position prior to expiry and prior to first notice date, whatever comes first.
A long position you do not want to hold until expiry.
Source: The only legitimate source for expiry and first notice day is the exchange, where the contract is traded. All other sources are secondary and error-prone.
For rollover dates there are known dates for some contracts (index, currency and interest futures, metals) and fluctuating dates (energy and agriculturals) for others. For the latter you would have to look at volume or open interest cross-over. There is a thread on rollover dates in this forum.
Last edited by Fat Tails; June 2nd, 2010 at 03:24 PM.
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Try BarChart.com and under the futures header there are options for Expiration Dates and more important First Notice dates too. If you have the capital investment then you can use CSI data and then you can have a roll report that tells you which contracts to roll on which day depending on your roll rules.