ZB ZN Rollover

Discussion in 'Index Futures' started by Tech Analysis, Nov 24, 2003.

  1. When do they roll from Dec to March? I think I remember it being 2 weeks before the market index futures rolled, which would make it Thursday of this week (actually Friday).
  2. First notice on ZB/ZN is this Friday.
  3. What is first notice means and when will be the last trading day and time for Dec 2003 contracts. Thanks
  4. Gee, and you thought that someone would know this, right?

    So many elite traders around, but so few even straighforward, you would think, answers. I just started trading bonds, so I don't know this either, but it looks to me that bonds will rollover the same day or the day after index futures. The last trading day is Dec 19 (Friday) which would mean that the rollover is a week earlier, as is the case with index futures. This is just a guess on my part, so perhaps someone will correct me if I am wrong.

    Do bonds roll over the same day as index futures (the second Thursday of the contract month) or are the rollover dates here chosen according to some more complex rules? Perhaps someone will enlighten me.

  5. Well the march contracts had more volume than the dec, so you might want to roll over.
  6. First Notice Day:

    The first day that a notice of intent to deliver a commodity can be made by a clearinghouse to a buyer in fulfillment of a given month's futures contract.
  7. If you are LONG, you need to be out before (not on) the first notice day. If you are SHORT, you need to be out before (not on) the last trading day.

    I'm not quite sure if you can stay SHORT as long as the day before the last trading day, or if only until 3 days before the last trading day.

    Either way, you will find liquidity can become an issue.

    Historically, I have frequently found myself SHORT a contract on the first notice day and opted to remain in the position until it moved in my favor. All except one time, this proved profitable, as I liquidated my SHORT position several days past first notice day.

    Lots of games are played around these dates, similar to the games played around option expiration dates - unless the market is uncontrollable for some major reason, moves seem to be placed on hold until players have made their choices to get out or stay in around these dates - that is why holding a short position can turn profitable AFTER first notice day. However, it may NOT prove profitable, and as I said, liquidity can be an issue.