I am considering adding Bonds and 10-year Notes to the markets that I trade, and I could use a bit of help. Could someone please tell me when the front months change on these instruments? Presently, I trade the equity indexes, and I know that the roll date is the Thursday prior to the 2nd Friday of the expiration month (generally, the 2nd Thursday). However, there appears to be no such "formula" for the bonds and notes. I spoke with someone at the CBOT and was advised that the date is announced in advance, but is not based on a predefined "formula" as are the indexes. Is this correct, or did I misunderstand? While we're at it, could someone please advise me of the same rollover information regarding Gold and Crude Oil traded on the NYMEX? Thank you.
With CBOT bonds and notes, it's ~2 or 3 business days before the first day of the delivery month, i.e. September will "roll" into December on August 29th or 30th.
So are you saying that, indeed, there is not a predefined front month rollover "formula" as is the case with the indexes?
The company "Pinnacle Data" sells backadjusted continuous futures contracts (reference) for trading system development and testing work. They roll over their 30-Year and 10-Year contracts on Feb 26, May 26, Aug 26, and Nov 26. That is, on the 26th calendar day of the month preceding delivery month, "26 MPDM". If that's a weekend or holiday, the first market day thereafter. Some people strongly believe in the maxim "Test what you trade and trade what you test." So if their Pinnacle data, used for testing, rolls over on the 26th, then by God they roll over their actual positions in the real futures markets, on the 26th too.
There is not an exact formula for bonds; it is determined by that contract's pit committee. Also in the financials when the month changes from the center to the top it becomes the front month. A typical transition change is like this: N O T I C E TRADING POSITION CHANGE US Treasury Bonds Effective Wednesday, August 31, 2005 â (1)December US Treasury Bonds will trade in the TOP section of the pit and (2)September US Treasury Bonds will trade in the Center of the pit. --- To receive all CBOT trading position change notices go to CBOT.com. On the top toolbar go to news, then choose newsletters and subscribe to Position Change Notices.
for the electronic contracts I just roll the day before FN on the open I compared volume a couple of times, and there seems to be very difference between last few days before FN.
I don't know for sure on this but it might be the day after when the trading volume in the deferred month exceeds the trading volume in the front month..............usually 2 or 3 business days before the first day of the delivery month.