Just a note as a lot of people miss this is first notice day.
Fat Tails mentioned it but I just wanted to bring it up that if you are trading a contract that has a first notice day, you should take notice because brokers get a little nervous if you try to trade intr-day on margins on or after first notice day.
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Thanks for pointing to this. Starting with first notice day, the clearing house can assign the holder of a long position for delivery, so you should then be renting storage space.
So in any case you do not want to have a long position on first notice day or later. Contracts need to be rolled prior to first notice day and prior to last trading date, whatever comes first.
Fore some futures contracts, first notice day is prior to last trading day, this includes
ZB, ZN (about 3 weeks prior to last trading date)
GC (about 3 weeks prior to last trading date)
SI, HG (about 1 month prior to last trading date)
Agriculturals (about 2 weeks prior to last trading date)
Softs, with the exception of SB (between 2 and 4 weeks prior to last trading date)
Volume crossover typically can be observed prior to or at first notice date. Don't open any long position afterwards, or the stuff will be delivered right to your home.
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Fat Tail and all..Thanks for this important thread. I trade CL and want to make sure I never get called for physical delivery (long or short). I will summarize and please correct if I misunderstood.
a) For rollover, really watch for volume. When volume transitions, you roll over.
b) Currently CLF1 has the highest volume. I see the following from Interactive Brokers.
Futures TypeEnergyFirst Notice Date
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c) For this, as far as volume transition is concerned, it can happen anyday before 20/12/2010.
d) To avoid physical delivery, you really shouldn't be trading this anyday past 20/12/2010. If you happen to trade on a day before 20/12/2010 with this contract, but the volume has moved to next month contract, the worst you will suffer is lack of liquidity (i.e you won't get called for physical delivery).
e) I see the following with interactive brokers -
"It is the responsibility of the account holder to make themselves aware of the close-out deadline of each product. If an account holder has not closed out a position in a physical delivery futures contract by the close-out deadline, IB may, without additional prior notification, liquidate the account holder’s position in the expiring contract. Please note that liquidations will not otherwise impact working orders; account holders must ensure that open orders to close positions are adjusted for the actual real-time position."
This sounds like "help" from the brokers because the worst that can happen is that the position gets closed in an inappropriate time and you may incur losses - but atleast, you don't have to deal with physical delivery. Is my understanding correct that many brokers will close out the position automatically to help us avoid physical delivery issues ?
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(a) and (c): Look at volume crossover for rollover, typically around the 18th of each month.
(b) and (d): CL is an easy case, as first notice comes after the last trading date. So you will only be assigned for delivery if you hold your position past expiry.
(e) Yes, Interactive Brokers will first send you a message to close your position. In case you don't they will close your position for you, not sure they will do it at the price level you were looking for.
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Please take specific rollover questions to a better thread. This thread was about a website that lists info in table form. It will not be easy to find rollover info later when searching because the thread topic doesn't match the thread contents if you keep posting rollover information in this thread.
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