1/14/2010 1:40:01 AM
GTrader
Posts: 13
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Contract Roll Over[/color:28893c687d]
Traders, I am a student and not a professional, use this information accordingly.[/color:28893c687d]
Confused about when to roll over Futures Contracts? The first chart will show you the day to roll and the second chart will show you the months of expiration.
Quick Facts about Rollover Day
The following applies to many of the more popular futures contracts, especially those from the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT). These include Indices and Currencies.
⢠Rollover is 8 days before expiration.
⢠Expiration is the third Friday of each quarter month (March, June, September, December)
⢠The contract letter associated with each month is: March=H June=M September=U December=Z
⢠Rollover is on Thursday. I switch on Wednesday Evening.
⢠Rollover is usually on the second Thursday of the month but will be on the first Thursday if the first day of the month falls on a Friday
⢠Volume shifts to the new contract at market open (09:30 EST) on Rollover day
For those contracts that do not follow the above rules, such as Softs, Energies, Meats, Grains, Metals, and Financials, use the lists below to determine roll over. For example US Bonds roll over on the 28th of the month prior to the expiration month.
Use the Bottom List to find the months your contract trades, then use the top list to find the roll over dates.
GTrader
Top List[/color:28893c687d]
STARTING DATES AND ROLL OVER DAYS
DM = Delivery Month, MPDM = Month Prior to DM
COMMODITY
START DATE AND ROLL DAY
Australian $$, Day Session 1988 8th Day of DM
Australian $$, Composite Session 1990 8th Day of DM
British Pound, Day Session 1976 8th Day of DM
British Pound, Composite Session 1990 8th Day of DM
CAC40 Index 1999 2nd Thur of DM
Canadian $$, Day Session 1978 8th of DM
Canadian $$, Composite Session 1990 8th of DM
Canadian 10yr Bond 1994 26th of MPDM
Cocoa 1981 9th of MPDM
Coffee 1974 11th of MPDM
CRB Futures 1987 6th of DM
Copper 1989 22nd of MPDM
Corn 1970 22nd of MPDM
Cotton #2 1973 15th of MPDM
Crude Oil 1984 11th of MPDM
Dollar Index #2 1989 8th of DM
Dow Jones Index, Day Session 1997 Thur prior 2nd Fri of DM
Dow Jones Index, Composite session 1998 2nd Thur of DM
Dow Jones Mini 2002 2nd Thur of DM
Dow Jones Eurostoxx50 2002 2nd Thur of DM
Dow Jones Stoxx50 2002 2nd Thur of DM
Euro, Day (DMark from 1975 to 1999) 1975 8th of DM
Euro, Composite Session 1999 8th of DM
Euro, Bobl 1999 26th of MPDM
Euro Bond (Bund) 1989 26th of MPDM
Eurodollars 1983 22nd of MPDM
Euro Schatz 1999 26th of MPDM
Fed Funds 1989 22nd of DM
Feeder Cattle 1978 12th of DM
FTSE 100 Index 1990 13th of DM
German Dax Index 1997 2nd Thur of DM
Gilt, Long Bond 1989 26th of MPDM
Gold (Commex) 1975 22nd of MPDM
Gold (CBOT 24hr electronic) 2004 22nd of MPDM
Goldman Saks 1993 9th of DM
Hang Seng 1997 2nd Thur of DM
Heating Oil 1980 11th of MPDM
Japenese Yen, Day Session 1978 8th of DM
Japanese Yen, Composite Session 1990 8th of DM
Live Cattle 1971 27th of MPDM
Live Hogs 1970 27th of MPDM
Lumber 1974 1st of DM
Mexican Peso Ind 1995 8th of DM
Muni Bonds 1986 26th of MPDM
Nasdaq 100 1996 2nd Thur of DM
Nasdaq, Mini 1999 2nd Thur of DM
Natural Gas 1991 18th of MPDM
Nikkei Index 1991 3rd of DM
Oats 1975 22nd of MPDM
Orange Juice 1973 25nd of MPDM
Palladium 1983 22th of MPDM
Platinum 1973 22nd of MPDM
Pork Bellies 1970 27nd of MPDM
RBOB Gasoline (with HU history) 1985 11th of MPDM
Rough Rice 1987 22nd of MPDM
Russell 2000 Index 1993 2nd Thur of DM
Mini Russell Index 2002 2nd Thur of DM
S. & P. 400 1993 2nd Thur of DM
S. & P. 500, Day Session 1983 2nd Thur of DM
S. & P. 500, Composite Session 1994 2nd Thur of DM
S. & P. 500, Mini 1997 2nd Thur of DM
Silver (Commex) 1973 22nd of MPDM
Soybeans 1969 22nd of MPDM
Soybean Meal 1969 22nd of MPDM
Soybean Oil 1969 22nd of MPDM
Sterling, Short 1989 3rd of DM
Sugar, #11 1975 22nd of MPDM
Swiss Frank, Day Session 1976 8th of DM
Swiss Frank, Composite Session 1990 8th of DM
T-Bonds, Day Session 1983 26th of MPDM
T-Bonds, Composite Session 1978 26th of MPDM
T-Notes, 2yr, Day Session 1990 26th of MPDM
T-Notes, 2yr, Composite Session 1990 26th of MPDM
T-Notes, 5yr, Day Session 1988 26th of MPDM
T-Notes, 5yr, Composite Session 1989 26th of MPDM
T-Notes, 10yr, Day Session 1983 26th of MPDM
T-Notes, 10yr, Composite Session 1983 26th of MPDM
Wheat, Chicago 1969 22nd of MPDM
Wheat, K.C. 1977 22nd of MPDM
Wheat, Minn. 1981 22nd of MPDM
DM = Delivery Month, MPDM = Month Prior to DM
Bottom List[/color:28893c687d]
CONTRACT SPECIFICATIONS
http://livewithoscar.com/index.php?pa=Contract_Specs
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
F G H J K M N Q U V X Z
Market Groups
Currencies | Energies | Financials | Grains | Indices | Meats | Metals | Softs
Currencies
Name Symbol Exchange Size Months Tick
Aussie Dollar (Pit) AD CME 100K AD H,M,U,Z .0001 ($10.00)
Aussie Dollar 6A CME 100K AD H,M,U,Z .0001 ($10.00)
Brazilian Real 6L CME 100K BR All .0001 ($10.00)
Brazilian Real (Pit) BR CME 100K BR All .0001 ($10.00)
British Pound 6B CME 62.5K BP H,M,U,Z .0001 ($6.25)
British Pound (Pit) BP CME 62.5K BP H,M,U,Z .0001 ($6.25)
Canadian Dollar 6C CME 100K CD H,M,U,Z .0001 ($10.00)
Canadian Dollar (Pit) CD CME 100K CD H,M,U,Z .0001 ($10.00)
E-Mini Euro FX E7 CME 62.5K ⬠H,M,U,Z .0001 ($6.25)
E-Mini J-YEN J7 CME 6.25 mil ¥ H,M,U,Z .000001 ($6.25)
Euro FX Currencies 6E CME 125K ⬠H,M,U,Z .0001 ($12.50)
Euro FX Currencies (Pit) EC CME 125K ⬠H,M,U,Z .0001 ($12.50)
Euro FX/BP Cross RP CME 125K ⬠H,M,U,Z .000025 (3.125 BP)
Euro FX/JY Cross RY CME 125K ⬠H,M,U,Z .005 (625 ¥)
Euro FX/SF Cross RF CME 125K ⬠H,M,U,Z .00005 (6.25 SF)
Japanese Yen 6J CME 12.5 mil ¥ H,M,U,Z .000001 ($12.50)
Japanese Yen (Pit) JY CME 12.5 mil ¥ H,M,U,Z .000001 ($12.50)
Mexican Peso 6M CME 500K MP All .000025 ($12.50)
Mexican Peso (Pit) MP CME 500K MP All .000025 ($12.50)
New Zealand Dollar 6N CME 100K NZ H,M,U,Z .0001 $10
New Zealand Dollar (Pit) NE CME 100K NZ H,M,U,Z .0001 $10
Russian Ruble 6R CME 2.5 mil RU H,M,U,Z .00001= $25
Russian Ruble (Pit) RU CME 2.5 mil RU H,M,U,Z .00001= $25
South African Rand 6Z CME 500KSAR All .000025 = $12.50
South African Rand (Pit) RA CME 500KSAR All .000025 = $12.50
Swiss Franc 6S CME 125K SF H,M,U,Z .0001 ($12.50)
Swiss Franc (Pit) SF CME 125K SF H,M,U,Z .0001 ($12.50)
US Dollar Index (Pit) DX FINEX $1000 x Index value H,M,U,Z .01 pt ($10.00)
Energies
Name Symbol Exchange Size Months Tick
Crude Oil GCL CME 1K bbl All .01/bbl ($10.00)
Crude Oil (Penultimate) WS CME 1K bbl All .01/bbl ($10.00)
Crude Oil (Pit) CL NYMEX 1K bbl All .01/bbl ($10.00)
Heating Oil BH CME 42k gal All .0001 ($4.20)
Heating Oil GHO CME 42K gal All .0001 ($4.20)
Heating Oil (Pit) HO NYMEX 42K gal All .0001 ($4.20)
ICE Brent Crude Futures Monthly NSEA-M IPE-ICE 1000 bbl/month All 0.01 ($10.00)
ICE Brent Crude Futures Quarterly NSEA-Q IPE-ICE 1000 bbl/month H,M,U,Z 0.01 ($10.00)
ICE Brent Crude Futures Yearly NSEA-Y IPE-ICE 1000 bbl/month Z 0.01 ($10.00)
ICE Gasoil Futures ARA-M IPE-ICE 100 tons/month All 0.25 ($25.00)
ICE Gasoil Futures ARA-Q IPE-ICE 100 tons/month H,M,U,Z 0.25 ($25.00)
ICE Heating Oil Futures NYH-M IPE-ICE 1000 bbl/month All 0.0001 ($4.20)
ICE Heating Oil Futures NYH-Q IPE-ICE 1000 bbl/month H,M,U,Z 0.0001 ($4.20)
ICE WTI Crude Futures WTI-M IPE-ICE 1000 bbl/month All 0.01 ($10.00)
ICE WTI Crude Futures WTI-Q IPE-ICE 1000 bbl/month H,M,U,Z 0.01 ($10.00)
ICE WTI Crude Futures WTI-Y IPE-ICE 1000 bbl/month Z 0.01 ($10.00)
miNY Crude Oil QM CME 500 barrels All .025/bbl ($12.50)
miNY Heating Oil QH CME 21K gal All .001/gal ($21.00)
miNY Natural Gas QG CME 2500 mm/Btu All .005 per MMBtu ($12.50)
miNY Unleaded Gas QU CME 21K gal All .001/gal ($21.00)
Natural Gas GNG CME 10000 mmBtu All .001/c ($10)
Natural Gas (Last-Day) HH CME 10000 mmBtu All .001/c ($10)
Natural Gas (Penultimate) HP CME 10000 mmBtu All .001/c ($10)
Natural Gas (Pit) NG NYMEX 10000 mmBtu All .001/c ($10)
RBOB Gasoline (Penultimate) RT CME 42K gal All .0001 ($4.20)
Financials
Name Symbol Exchange Size Months Tick
10 Yr US T-Note ZN eCBOT $100K note H,M,U,Z 1/64 ($15.625)
10 Yr US T-Note (Pit) TY CBOT $100K note H,M,U,Z 1/64 ($15.625)
2 Yr T-Note ZT eCBOT $200K note H,M,U,Z 1/128 ($15.625)
2 Yr T-Note (Pit) TU CBOT $200K note H,M,U,Z 1/128 ($15.625)
30 Yr US T-Bonds ZB eCBOT $100K bond H,M,U,Z 1/32 ($31.25)
30 Yr US T-Bonds (Pit) US CBOT $100K bond H,M,U,Z 1/32 ($31.25)
5 Yr T-Note ZF eCBOT $100K note H,M,U,Z 1/64 ($15.625)
5 Yr T-Note (Pit) FV CBOT $100K note H,M,U,Z 1/64 ($15.625)
Euribor FEU3 LIFFE 100K ⬠H,M,U,Z .005 (â¬12.50)
Euribor (LIFFE) ER LIFFE 100K ⬠H,M,U,Z .005 (â¬12.50)
Euro Dollar GE CME $1 mil H,M,U,Z .01 ($25)
Euro Dollar (Pit) ED CME $1 mil H,M,U,Z .01 ($25)
EuroBobl FGBM EUREX 100K ⬠H,M,U,Z .01% (⬠10.0)
EuroBund FGBL EUREX 100K ⬠H,M,U,Z .01% (⬠10.0)
Fed Fund 30 Day ZQ eCBOT $5 mil All .005 ($20.835)
Fed Fund 30 Day (Pit) FF CBOT $5 mil All .005 ($20.835)
Japanese Government Bond JGB SIMEX 10 mil ¥ H,M,U,Z .01 (1000 ¥)
Libor Futures GLB CME $3 mil All .005 ($12.50)
Libor Futures (Pit) EM CME $3 mil All .005 ($12.50)
Long Gilt GLTL LIFFE 100K BP H,M,U,Z .01 ( 10 BP)
Mini Euro Dollar YE eCBOT $500k H,M,U,Z .005 ($6.25)
Municipal Bond ZU eCBOT $1000 x Index value H,M,U,Z 1/32 ($31.25)
Municipal Bond (Pit) MB CBOT $1000 x Index value H,M,U,Z 1/32 ($31.25)
Schatz FGBS EUREX 100K ⬠H,M,U,Z .005% (â¬5.00)
Grains
Name Symbol Exchange Size Months Tick
Corn ZC eCBOT 5K bu H,K,N,U,Z 1/4C ($12.50)
Corn (Pit) C CBOT 5K bu H,K,N,U,Z 1/4C ($12.50)
Ethanol ZE eCBOT 29k gal All 1/10 cent ($29.00)
Mini Corn (Pit) XC CBOT 1K bu H,K,N,U,Z 1/8C ($1.25)
Mini Soybeans (Pit) XK CBOT 1K bu F,H,K,N,Q,U,X 1/8C ($1.25)
Mini Wheat (Pit) XW CBOT 1K bu H,K,N,U,Z 1/8C ($1.25)
Oats ZO eCBOT 5K bu H,K,N,U,Z 1/4C ($12.50)
Oats (Pit) O CBOT 5K bu H,K,N,U,Z 1/4C ($12.50)
Rough Rice ZR eCBOT 2K cwt F,H,K,N,U,X .005 ctw ($10.00)
Rough Rice (Pit) RR CBOT 2K cwt F,H,K,N,U,X .005 ctw ($10.00)
Soybean Oil ZL eCBOT 60K lbs F,H,K,N,Q,U,V,Z 1/100 cent ($6.00)
Soybean Oil (Pit) BO CBOT 60K lbs F,H,K,N,Q,U,V,Z 1/100 cent ($6.00)
Soybeans ZS eCBOT 5K bu F,H,K,N,Q,U,X 1/4C ($12.50)
Soybeans (Pit) S CBOT 5K bu F,H,K,N,Q,U,X 1/4C ($12.50)
Soymeal ZM eCBOT 100 tons F,H,K,N,Q,U,V,Z .10/ton $(10.00)
Soymeal (Pit) SM CBOT 100 tons F,H,K,N,Q,U,V,Z .10/ton $(10.00)
Wheat ZW eCBOT 5,000 bushels H,K,N,U,Z 1/4 C ($12.50)
Wheat (Pit) W CBOT 5,000 bushels H,K,N,U,Z 1/4 C ($12.50)
Indices
Name Symbol Exchange Size Months Tick
Big DJIA ($25 multiplier) DD eCBOT $25 x Index value H,M,U,Z 1 pt ($25.00)
CRB Reuters Index (Pit) CR NYBOT $500 x Index value F,G,J,M,Q,X .05 ($25.00)
DAX FDAX EUREX â¬25 X Index Value H,M,U,Z .5 pt ( â¬12.50)
DJ Euro STOXX 50 FESX EUREX â¬10 X Index Value H,M,U,Z 1 point (â¬10.00)
DJ STOXX 50 FSTX EUREX â¬10 X Index Value H,M,U,Z 1 point (â¬10.00)
DJIA ZDJ eCBOT $10 x Index value H,M,U,Z 1 pt ($10.00)
DJIA (Pit) DJ CBOT $10 x Index value H,M,U,Z 1 pt ($10.00)
E-Mini NASDAQ NQ CME $20 x Index value H,M,U,Z .25 pt ($5.00)
E-Mini Russell ER2 CME $100 x Index value H,M,U,Z .10 pt ($10.00)
E-Mini S&P ES CME $50 x Index value H,M,U,Z .25 pt ($12.50)
E-mini S&P MIDCAP 400 EMD CME $100 X Index Value H,M,U,Z 0.1 ($10.00)
Mini DJIA 5 YM eCBOT $5 X Index Value H,M,U,Z 1 point ($5.00)
NASDAQ ZND CME $100 x Index value H,M,U,Z .25 pt ($25.00)
NASDAQ (Pit) ND CME $100 x Index value H,M,U,Z .25 pt ($25.00)
Nikkei 225 NKD CME $5 x Index Value H,M,U,Z 5 points ($25.00)
Nikkei 225 CME (Pit) NK CME $5 x Index Value H,M,U,Z 5 points ($25.00)
Nikkei 225 CME (Yen) NIY OSE 1000¥ X Index Value H,M,U,Z 10¥ (10,000 ¥)
Russell 2000® ZRL CME $500 X Index value H,M,U,Z .05 ($25.00)
Russell 2000® (Pit) RL CME $500 X Index value H,M,U,Z .05 ($25.00)
S&P 500 ZSP CME $250 x Index value H,M,U,Z .10 pt ($25.00)
S&P 500 (Pit) SP CME $250 x Index value H,M,U,Z .10 pt ($25.00)
S&P Midcap 400 ZMD CME $500 x Index value H,M,U,Z .05=$25
S&P Midcap 400 (Pit) MD CME $500 x Index value H,M,U,Z .05=$25
Meats
Name Symbol Exchange Size Months Tick
Feeder Cattle GF CME 50K lbs F,H,J,Q,U,V,X .00025 lb ($12.50)
Feeder Cattle (Pit) FC CME 50K lbs F,H,J,Q,U,V,X .00025 lb ($12.50)
Lean Hogs HE CME 40K lbs G,J,K,M,N,Q,V,Z .00025 pts ($10.00)
Lean Hogs (Pit) LH CME 40K lbs G,J,K,M,N,Q,V,Z .00025 pts ($10.00)
Live Cattle LE CME 40K lbs G,J,M,Q,V,Z .00025 lb ($10.00)
Live Cattle (Pit) LC CME 40K lbs G,J,M,Q,V,Z .00025 lb ($10.00)
Pork Bellies GPB CME 40K lbs G,H,K,N,Q .00025 pts ($10.00)
Pork Bellies (Pit) PB CME 40K lbs G,H,K,N,Q .00025 pts ($10.00)
Metals
Name Symbol Exchange Size Months Tick
Aluminum GAL CME 44,000 LBS All 0.05
Aluminum (Pit) AL NYMEX 44K lbs All .0005 pts ($22.00)
Asian Gold QS CME 1,000 grams All .005/gram
Asian Palladium QT CME 500 grams. All 0.01/gram
Asian Platinum QR CME 500 grams. All 0.01/gram
COMEX miNY Copper QC CME 12,500 LBS All 0.002
COMEX miNY Gold QO CME 50 Troy Oz. F,G,J,M,Q,V,Z 0.25
COMEX miNY Silver QI CME 2,500 Troy Oz. F,G,H,K,N,U,Z 0.0125
Copper GHG CME 25,000 LBS All 0.05
Copper (Pit) HG NYMEX 25K lbs All .05 cents ($12.50)
Gold GGC CME 100 Troy Oz. G,J,M,Q,V,Z 0.1
Gold ZG eCBOT 100 oz. G,J,M,Q,V,X,Z .10/troy ($10.00)
Gold (Pit) GC NYMEX 100 oz G,J,M,Q,V,Z .1 pts ($10.00)
London Copper Grade A LK CME 5 metric tons All 0.25/ton
London Primary Aluminium LA CME 10 Metric Tons All 0.50/ton
London SHG Zinc LZ CME 10 Metric Tons All 0.50/ton
Mini Gold ZYG eCBOT 33.2 troy oz. All $.1 ($3.32)
Mini Silver YI eCBOT 1,000 troy oz. All .001/troy ($1.00)
Palladium GPA CME 100 troy oz. H,M,U,Z 0.05 per troy oz. ($5)
Palladium (Pit) PA NYMEX 100 troy oz. H,M,U,Z 0.05 per troy oz. ($5)
Platinum GPL CME 50 oz F,J,N,V .1 ($5.00)
Platinum (Pit) PL NYMEX 50 oz F,J,N,V .1 ($5.00)
Silver GSI CME 5,000 Troy Oz. F,H,K,N,U,Z 0.05
Silver ZI eCBOT 5000 OZ. F,H,K,N,U,V,X,Z .001/troy ($5.00)
Silver (Pit) SI NYMEX 5K oz F,H,K,N,U,Z .005 pts ($25.00)
Softs
Name Symbol Exchange Size Months Tick
Cocoa CJ NYMEX 10 metric tons H,K,N,U,Z 1 pt ($10.00)
Cocoa (Pit) CC NYBOT 10 metric tons H,K,N,U,Z 1 pt ($10.00)
Coffee KT NYMEX 37.5k lbs H,K,N,U,Z .0005 ($18.75)
Coffee (Pit) KC NYBOT 37.5k lbs H,K,N,U,Z .0005 ($18.75)
Cotton TT NYMEX 50k lbs H,K,N,V,Z .0001 ($5.00)
Cotton (Pit) CT NYBOT 50K lbs H,K,N,V,Z .0001 ($5.00)
Lumber (Pit) LB CME 110K board feet F,H,K,N,U,X .10/1K ($11.00)
No. 11 Sugar YO NYMEX 112k lbs H,K,N,V .0001 ($11.20)
No. 14 Sugar FT NYMEX 112k lbs H,K,N,U,X .0001 ($11.20)
Orange Juice FJ NYMEX 15k lbs H,K,N,U,X .0005 ($7.50)
Orange Juice (Pit) OJ NYBOT 15K lbs F,H,K,N,U,X .0005 ($7.50)
Sugar (Pit) SB NYBOT 112K lbs H,K,N,V .0001 ($11.20)
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