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Understanding Futures Expiration


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Understanding Futures Expiration

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  #1 (permalink)
 jemayer 
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Hello,

I want to learn how to find expiration dates of the 6E Euro FX Future.

On the CME website the Globex Code says 6EM1. In my software i can trade the 6EM1.
Furthermore i got different but similar named contracts like 6EU1, 6EZ1... (Four contracts a year)

But when in go on the expiration calender of CME i found totally different contract codes and not four-times-a-year-expiration-contracts like in my software. In the CL its the same thing..

How do i find the expiration days of the futures contract that i need to pay attention to when trading?

Sorry for the very basic question,
Thanks!

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  #2 (permalink)
 BA 21 
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Use the CME roll analyzer.

https://www.cmegroup.com/trading/fx/paceofroll/main.html


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  #3 (permalink)
 matthew28 
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Or look at the CME quote board for each product and trade the month with the highest volume,
https://www.cmegroup.com/trading/fx/g10/euro-fx_quotes_globex.html
You can also add the current product front month to a quote board in your trade platform and when close to the roll date add the next month's product so you can compare the volume. Some platform's like Tradovate will tell you when you open it whether a product you have on your charts has rolled to a new month with higher volume. Other platforms can have methods of notifying/rolling over for you too.

Also click the Contract Specs tab. The Euro used to be called EC but the Globex name is 6E which is the product name you want. You want to check the spec. page for any CME product you trade as it has tick size/value etc.
https://www.cmegroup.com/trading/fx/g10/euro-fx_contract_specifications.html

The Currencies roll four times a year: March, June, Sept and Dec. I have a note of as it being approximately "the Friday. prior to the 3rd Wed. of contract month."
Crude Oil rolls every month. I have a note of as it being approximately "3rd bus. day prior to 25th day prev. month* (In reality it seems to often be the end of the week before)"

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  #4 (permalink)
 jemayer 
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Thank you two!

I didnt know that there are contracts, which are unimportant for me because of very low volume.

Have a nice day!

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  #5 (permalink)
 bobwest 
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matthew28 View Post
Or look at the CME quote board for each product and trade the month with the highest volume,
https://www.cmegroup.com/trading/fx/g10/euro-fx_quotes_globex.html
You can also add the current product front month to a quote board in your trade platform and when close to the roll date add the next month's product so you can compare the volume. Some platform's like Tradovate will tell you when you open it whether a product you have on your charts has rolled to a new month with higher volume. Other platforms can have methods of notifying/rolling over for you too.

Also click the Contract Specs tab. The Euro used to be called EC but the Globex name is 6E which is the product name you want. You want to check the spec. page for any CME product you trade as it has tick size/value etc.
https://www.cmegroup.com/trading/fx/g10/euro-fx_contract_specifications.html

The Currencies roll four times a year: March, June, Sept and Dec. I have a note of as it being approximately "the Friday. prior to the 3rd Wed. of contract month."
Crude Oil rolls every month. I have a note of as it being approximately "3rd bus. day prior to 25th day prev. month* (In reality it seems to often be the end of the week before)"

What they said.

You'll generally want to trade the "front month," which is usually the contract with the greatest volume. This will usually be the contract with the nearest settlement date to today, but it will switch out to the next one in the week or so before settlement. As we approach a contract's settlement date, most traders will generally roll out of the current contract and into the next one out. There is a formal "roll date," which is determined by the calendar and is usually a week before the settlement, or you can keep tabs on the current volume and roll out when the next contract out starts to exceed the current contract's volume (which is often a day or so after the calendar roll date.) Unless you meet the requirements to actually receive or deliver the underlying commodity (which, trust me, you don't ), your broker will close you out before settlement if you haven't rolled.

For instance, on many products we are on the June 2021 contract as the lead or front month. This is usually designated by the month code "M" for June and a "1" for 2021 in the symbol. So the Euro (which is "6E") has a designation for its current front month of "6EM1", or something similar in different trading platforms.

If you click on the contract specifications link provided by @matthew28 above, you will see at the top of the page the Globex Code "6EM1."

Symbols can get a little odd between different data feeds, but use the base symbol ("6E") and the settlement month/year as your guide.

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 Sandpaddict 
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jemayer View Post
Hello,

I want to learn how to find expiration dates of the 6E Euro FX Future.

On the CME website the Globex Code says 6EM1. In my software i can trade the 6EM1.
Furthermore i got different but similar named contracts like 6EU1, 6EZ1... (Four contracts a year)

But when in go on the expiration calender of CME i found totally different contract codes and not four-times-a-year-expiration-contracts like in my software. In the CL its the same thing..

How do i find the expiration days of the futures contract that i need to pay attention to when trading?

Sorry for the very basic question,
Thanks!

Im glad others responded because I've never traded 6E.

I *ASSumed* it was 4 times a year (which it is... Mar, Jun, Sept, Dec) but the link you posted from the CME is confusing to me... It states that quarterly contracts are listed for 20 consecutive quarters and serial contracts listed for 3 consecutive months???

Not even sure what that means. It does make it look like it's like crude... every month!?!!

*** I would ignore that link and listen to the great posts above. ***

The thing with expirations is that although they are very important they happen infrequently and at basically same time every year.

Plus your software SHOULD let you know. Maybe check your settings. If not maybe contact your broker or chart provider and ask.

This also might help...
https://www.cmegroup.com/education/courses/introduction-to-futures.html

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  #7 (permalink)
 jemayer 
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That's informative, thanks for the effort!

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  #8 (permalink)
 tr8er 
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Sandpaddict View Post
Im glad others responded because I've never traded 6E.

I *ASSumed* it was 4 times a year (which it is... Mar, Jun, Sept, Dec) but the link you posted from the CME is confusing to me... It states that quarterly contracts are listed for 20 consecutive quarters and serial contracts listed for 3 consecutive months???

Not even sure what that means. It does make it look like it's like crude... every month!?!!

*** I would ignore that link and listen to the great posts above. ***

The thing with expirations is that although they are very important they happen infrequently and at basically same time every year.

Plus your software SHOULD let you know. Maybe check your settings. If not maybe contact your broker or chart provider and ask.

This also might help...
https://www.cmegroup.com/education/courses/introduction-to-futures.html

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6E for retail-traders rolls quarterly, but there are some month between with less volume, nobody trades em, except some large hedgers

some situation with Gold, Gold rolls each 2 month, but there are also some month between which are not interesting for retail-traders, also nobody trade the Oct-Gold, Gold (volume) roll from Aug to Dec

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 Sandpaddict 
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tr8er View Post
6E for retail-traders rolls quarterly, but there are some month between with less volume, nobody trades em, except some large hedgers

some situation with Gold, Gold rolls each 2 month, but there are also some month between which are not interesting for retail-traders, also nobody trade the Oct-Gold, Gold (volume) roll from Aug to Dec

Large hedgers trade different contracts than retail?

I'm missing something here.

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Mozart2112
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jemayer View Post
Hello,

I want to learn how to find expiration dates of the 6E Euro FX Future.

On the CME website the Globex Code says 6EM1. In my software i can trade the 6EM1.
Furthermore i got different but similar named contracts like 6EU1, 6EZ1... (Four contracts a year)

But when in go on the expiration calender of CME i found totally different contract codes and not four-times-a-year-expiration-contracts like in my software. In the CL its the same thing..

How do i find the expiration days of the futures contract that i need to pay attention to when trading?

Sorry for the very basic question,
Thanks!

Currencies and indices trade March (H), June (M), Sep (U), Dec (Z) Generally you want to roll over week or 2 before expiry, you will notice liquidity.

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 SMCJB 
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Sandpaddict View Post
I *ASSumed* it was 4 times a year (which it is... Mar, Jun, Sept, Dec) but the link you posted from the CME is confusing to me... It states that quarterly contracts are listed for 20 consecutive quarters and serial contracts listed for 3 consecutive months???

It's quite simple.

20 Consecutive Quarters
2021 M U Z (3)
2022 H M U Z (7)
2023 H M U Z (11)
2024 H M U Z (15)
2025 H M U Z (19)
2026 H (20)

3 Serial Contracts
2021 K N Q (no M as it's already listed as Quarterly)

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  #12 (permalink)
 SMCJB 
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Sandpaddict View Post
I *ASSumed* it was 4 times a year (which it is... Mar, Jun, Sept, Dec) but the link you posted from the CME is confusing to me... It states that quarterly contracts are listed for 20 consecutive quarters and serial contracts listed for 3 consecutive months???

It's quite simple.

20 Consecutive Quarters
2021 M U Z (3)
2022 H M U Z (7)
2023 H M U Z (11)
2024 H M U Z (15)
2025 H M U Z (19)
2026 H (20)

3 Serial Contracts
2021 K N Q (no M as it's already listed as Quarterly)
When K expires they will add V as U is also already listed as a Quarterly.

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 Sandpaddict 
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SMCJB View Post
It's quite simple.

20 Consecutive Quarters
2021 M U Z (3)
2022 H M U Z (7)
2023 H M U Z (11)
2024 H M U Z (15)
2025 H M U Z (19)
2026 H (20)

3 Serial Contracts
2021 K N Q (no M as it's already listed as Quarterly)
When K expires they will add V as U is also already listed as a Quarterly.

Gotcha.

So after 2026 H (20) they just cycle back and the count starts as:

2026 M U Z (3)

?

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 SMCJB 
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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

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 Sandpaddict 
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SMCJB View Post
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

Appreciated thank you.

Just another distinction. I didn't realize they had a cycle.

Still not sure why. Or why a larger cycle and a smaller one.

But it makes sense.

Thank you

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 SMCJB 
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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!

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 Sandpaddict 
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SMCJB View Post
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!

Ahhhh ok.

%100

Thank you.

Got the whole picture now.



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