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Limited data available for distant contract expirations
I've recently started looking into putting on calendar spreads using futures (e.g. ESU21 against ESZ21). The issue that I'm running into now is that this can only be done on contracts that are expiring within 6 months from now because apparently NT only starts to record historical data 6 months in advance of a contract's rollover date.
Right now it's early June, so NT has only just started providing data for the December 2021 ES contracts and it seems that there is no possible way to get data for say, the March 2022 ES contracts. I would have thought that the amount of historical data is solely dependent on the data provider but no, according to the NT8 support platform, data only become available on NT 6 months prior to a contract's rollover date.
I'm surprised by this and wonder if it's really true. Does anyone have any experience with this? I'm concerned because if it is true, then it would be impossible to use contracts expiring beyond 6 months as part of a spread. This would be very restrictive and would make NT8 completely useless for most calendar spreads on the US index futures.
Can you help answer these questions from other members on NexusFi?
I trade a diversified option selling portfolio for many years. Different than other concepts to sell options, I strive for diversification (I strive for holding 8 – 15 options), and, thus, spend a lot of time studying fundamentals of various commodities. …
Thanks @casey44 for the response. But perhaps I was not clear in that I'm referring to a calendar spread on the futures contracts themselves, not an options spread.
The issue is that NT8 will not (can not?) show data for a futures contract whose rollover date is more than 6 months away. For example, if I try to open a chart of the ES March 2022 expiration contract, which is currently nine months away, there is no data available. But when I check the CME website I am able to confirm that the March 2022 contract is trading, albeit with low volume.
What I've not been able to get a straight answer for is what/who is responsible for this restriction. Is it NT? Or is it my Continuum data provider?
Getting a straight answer from the NT support platform has proved to be difficult.
But now I wonder if that's also true for Eurodollar contracts where most of the volume is not on front month contract, but on contracts from many months to many years in the future.
I've since closed by data feed through NT to focus on other things but if a NT8 user could check if data is visible for any GE contract whose expiry is more than 6 months from the current date that would be appreciated.
