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interest rate and grain futures roll dates
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interest rate and grain futures roll dates

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interest rate and grain futures roll dates

I have been trying to figure out the futures roll dates for CBOT/CME grains and interest rates. Specifically when the second calendar contract becomes the lead. There are an array of answers that involve different day count calculations. After doing my own research it appears that the roll takes place 1 day prior to the first notice day. I would greatly appreciate it if someone could confirm this. Thank You

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HUSKIE64 View Post
I have been trying to figure out the futures roll dates for CBOT/CME grains and interest rates. Specifically when the second calendar contract becomes the lead. There are an array of answers that involve different day count calculations. After doing my own research it appears that the roll takes place 1 day prior to the first notice day. I would greatly appreciate it if someone could confirm this. Thank You

Hi Huskie

This should link should help


https://futures.io/traders-hideout/2073-rollover-days-some-quick-facts-about.html

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