S&P- When Does June Become Front Month?
GoldTrader
The business day immediately preceding the day of determination of the
Final Settlement Price (normally, the Thursday prior to the 3rd Friday
of the contract month).
New Contract Listing Rule:
The day after the front month expires.
burb_trader
nom...@hotmail.com (GoldTrader) wrote in message news:<9a1136ac.03031...@posting.google.com>...
David Pincus
>
> Last Day of Trading Rule:
> The business day immediately preceding the day of determination of the
> Final Settlement Price (normally, the Thursday prior to the 3rd Friday
> of the contract month).
Not always (see para 3 below).
I thought of the same question some time ago as to when to switch over
NQ or ES futures contracts. I decided to contact the CME and find out
how they select the dates.
I checked the CME website and couldn't find anything there on rollover
dates, so I called Customer Service. I spoke with a gentleman who deals
with the equity index brokers. He said that though the rollover date is
set by the Pit Committee, in the 10 years he's been at the CME the
rollover date has always been set as the start of trading on the
Thursday 8 days before the 3rd Friday of the expiration month. That is,
the 3rd Friday minus 8 days.
He said to be sure not to use "the 3rd Thursday" because the 1st of the
month can fall on a Friday, so the Thursday before the 3rd Friday could
actually be the 2nd Thursday of the month. I know that's confusing but
look at a calender and it'll make sense.
So the rule is: The futures contract rollover begins with the start of
trading on the Thursday 8 days before the 3rd Friday of the expiration
month.