Rollover dates of bond futures

Discussion in 'Financial Futures' started by CoolTrader, Aug 29, 2005.

  1. How are the rollover dates of CBOT bond futures calculated? Sept. is coming, but Dec. contracts haven't taken over yet. Thanks in advance.
  2. mcurto


    Dec officially goes top step or front month on Wednesday of this week. You can roll your position anytime. If you are trading outrights though start trading Dec on Wednesday morning.
  3. More generally, the next contract goes to top step at the start of first notice day, which is the last business day of the month preceding the first calendar day of the delivery month.
  4. Do you have a link to the CBOT or somebody else explaining all this?
  5. Uhh, actually, no. I looked at the contract specs on the CBOT site, and, for some reason, they do not even mention first notice day. It's one of those things I "just know." Probably from studying for the Series 3 exam years ago.
  6. Are you at risk of delivery if you hold a long position through the first notice day. Or does the risk only kick in AFTER the last trading day?

  7. You are definitely at risk if you are long on first notice day.

    However, on the CBOT, if you receive a notice of intent to deliver, you can avoid the obligation by selling new contracts and passing (though the clearinghouse) the delivery notice to another long against your new short position.

    (This procedure does not work on all exchanges. On some exchanges the notice cannot be passed on.)
  8. So my best bet is to rollover the last business day in the morning? Or even the day before towards the end of the day?
  9. mcurto


    I would just rollover now, no reason to even risk delivery as volatile as the spread is. Is there a reason you want to hold to the last trading day? The spread will be at least a full tick wide at that point.
  10. Yes, either one. The exact time is not critical. The important thing is that there is (usually) no reason for a speculative trader to be in a contract on first notice day and beyond.
    #10     Aug 29, 2005