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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
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Posts: 5,049 since Dec 2013
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Yes.
When K21 expires they add V21 as that will be the next serial since U20 is a quarterly
When M21 expires they add M26 as the next quarterly
When N21 expires they add X21 as that will be the next serial
When Q21 expires they add F22 as that will be the next serial since Z21 is a quarterly
When U21 expires they add U26 as the next quarterly
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
Different contracts list new expirations in different ways.
Eurodollars (the largest futures market that nobody has ever heard of, which has an OI of over 12M !) works the same way as we just discussed here with 6E although it has 40 Quarterlies and 4 Serial.
The equity indexs just list 5 quarterlies, and every time one expires they add another.
Crude lists 10 years and two months but only adds new contracts upon Z expiry. Why add the 2 months? Well the most common crude derivative is a Calendar Month (or Year) Average Swap that settles against the NYMEX CL contract. So the Calendar 31 Swap is made up of the 12 individual Cal Month Average Swaps. The Dec31 Cal Month Average swap settles against the NYMEX CL prompt month average during the month of Dec31. Well the Dec31 future actually settles in Nov31. So the prompt month future for the first half of the month is Jan32 and for the second half of the month Feb32. Hence 10 years plus 2 months so that they can mark to market these swaps correctly! This changed several years back. Crude used to be 5 years of monthlies and 10 years of the M and Z rotation. I suppose you could think of this as 20 semi-annual (M and Z) contracts and 30 serial contracts!
Been using them for a long time, for Oil,Gold,6E and ES and so far pretty accurate. Especially if you want to backtest, they have the rollover dates for the last years.
