NYMEX Gold and Crude Oil future rollover question

Discussion in 'Automated Trading' started by travis, Apr 26, 2008.

  1. travis


    Excuse my ignorance. Can anyone tell me why the NYMEX Gold and Crude Oil futures have contracts for each month of the year whereas futures such as CME ES and forex futures only have contracts and rollover every 3 months?

    Did I see right and why is it? Also, please tell me how do I go about testing a system on them and trading them (do I need to use a different contract each month?). Thank you.
  2. gold traders only "rollover" 5 times a yr using these contracts

    feb. april. june. august. dec.
  3. xiaohu


    Won't there be a rollover in october too ?
  4. travis


  5. travis


    No idea how it works...

    May and April contracts actually coexist...
  6. travis


    I found out and I will write it down here for future reference.

    Gold is this (in my opinion):
    expiring every 2 months: at the close of business on the third to last business day of each odd month, the even month contract in place is replaced with the next (ending odd month + 3 months) even month contract.

    Light Sweet Crude Oil:
    expiring every month: at the close of business on the third business day prior to the 25th calendar day of each month

    If anyone knows otherwise please let me know.
  7. Aaron


    Thanks, Travis. That was just what I was looking for!
  8. You are correct about when the contract expires but you want to add another two days (5 trading days before the 25th). That is when volume of the expiring month typically criss-crosses the volume of the new month for CL.

    For NG it's a similar thing. It expires 3 days before the 1st of the month but 5 days before is when the volume of the expiring month drop below that of the new month.

    NG is the new CL you know. Trading CL is so 2009 :)