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Futures liquid front delivery month


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Futures liquid front delivery month

  #1 (permalink)
idrivefastlane
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I’ve been following copper futures. I have a hard time identifing the most liquid contract. Usually this is the front month, which at writing moment would be october. But october and november contracts are dead in the water compared to the volume of december. Why is that? Where can I find info the most liquid contracts for any futures contract? Thanks!

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  #2 (permalink)
 tr8er 
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idrivefastlane View Post
I’ve been following copper futures. I have a hard time identifing the most liquid contract. Usually this is the front month, which at writing moment would be october. But october and november contracts are dead in the water compared to the volume of december. Why is that? Where can I find info the most liquid contracts for any futures contract? Thanks!

Of course the Dec copper is the front-month! You can use your quote-board or you can go to the CME homepage to watch where the most volume is. I don't trade copper, but the month between the most liquid contracts are for some hedgers/commercials but not for retail-traders.

https://www.cmegroup.com/markets/metals/base/copper.settlements.html

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idrivefastlane
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tr8er View Post
Of course the Dec copper is the front-month! You can use your quote-board or you can go to the CME homepage to watch where the most volume is. I don't trade copper, but the month between the most liquid contracts are for some hedgers/commercials but not for retail-traders.

Thanks for giving me a better understanding tr8er! I wish there was some kind of contract-attribute which identified it as the retail contract (high-volume), but I guess the overview you provided gives me that same info. I just hope the retail-contracts are static and doesnt change from year to year. I pick and choose to get the most realistic outcome when backtesting u see. Thanks!

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 tr8er 
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idrivefastlane View Post
Thanks for giving me a better understanding tr8er! I wish there was some kind of contract-attribute which identified it as the retail contract (high-volume), but I guess the overview you provided gives me that same info. I just hope the retail-contracts are static and doesnt change from year to year. I pick and choose to get the most realistic outcome when backtesting u see. Thanks!

Yep it is always good to know which contract is important and we have to learn which contract is important for retail-traders, Equity-futures are clear they roll every quarter or Crude rolls every month. Gold rolls every 2 month, but nobody (or very less) are trading Gold October, so it rolls from Aug to Dec (and not Oct).

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 matthew28 
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idrivefastlane View Post
I just hope the retail-contracts are static and doesnt change from year to year. I pick and choose to get the most realistic outcome when backtesting u see. Thanks!

I have an old spreadsheet from a few years back that shows the same contract months as the CME Contract specs page from the link that Tr8er gave. (I have never traded the Softs or Grains and Livestock so not sure if those are correct on my table).
Contract months should be consistent year after year otherwise people would be rolling over in to the wrong months and wouldn't know how long to stay in the contract without needing to check the traded volumes every day to see whether volume had randomly moved in to a different month
Looking at my spreadsheet the volume for copper should next be rolling from December to the March contract around the middle of November.





Edit: I can see my spreadsheet is wrong for Gold based on Tr8er's reply. I have never traded it but I will uncheck the October month for if I ever do.

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Last Updated on September 10, 2021


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