Discussion in 'Index Futures' started by Malinois, Aug 28, 2008.
When does Dec become front month for ES?
Does anyone who trades thru IB understand their policies regarding physical delivery? My trouble is this, today I was unable to execute a long order in the Sep ten year treasuries. IB wouldn't allow it. I look up the expiration and its Sept 19. I was able to execute a long order in the mini S&P. The expiration is also Sept 19. ???? Before I call them which I hate doing, was wondering if anyone knew.
Must be the 10 Year Note hit the time frame before the first notice day. First notice day is usually the last business day of the prior month.
IB specifies: "For futures contracts that are settled by actual physical delivery of the underlying commodity (physical delivery futures), customers may not make or receive delivery of the underlying commodity. Certain currency futures are excepted from this rule (see the table below).
To avoid deliveries in expiring futures contracts, customers must roll forward or close out positions prior to a Close-Out Deadline. The standard Close-Out Deadline for holders of long positions is the end of the second (2nd) business day prior to the exchange specified First Notice Day. "
1) Early delivery assignment, on (FND) first notice day, of notes and bonds is highly likely in an inverted yield curve environment.
2) As it is now with a positively-sloped curve, the assignments should take place on (LND) last notice day.
3) Being stuck in a delivery can be expensive and nasty for you if you don't have good connections to the cash market. Your firm will charge excessive fees to your account to clean up the mess.
But why the ten year and not the S&P. They both have first same first notice day?
No they don't. The S&P settles in cash and has no notice day.
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