Rollover dates of bond futures

[mcurto]

The spread has been liquid for at least a couple weeks before the actual roll date. So in the future monitor where the spread is trading and you should be able to easily roll before first notice day.

 

[WalterEdward]

mcurto is right. There's no reason to wait until the last minute to roll.

Actually, you can place a spread order to make sure you get a position in the new month that rolls you into the new month at a proper offset, and if you don't wait until the last minute, you have a very good chance of the spread filling.

(Technically, it's a "switch order." The difference is that a switch requires you to pay a full roundturn commission on both transactions. Otherwise, it's the same as a spread order.)

 

[newbunch]

So I'll just plan (in general) to roll over at the end of the day before the last business day of the month. That way, I'm always in the most active contract, but totally avoid the notice.

 

[Bernard111]

Quote from newbunch:

Do you have a link to the CBOT or somebody else explaining all this?

The front month date is determined by contract's pit committee.
Maybe it could be of help to receive the trading position change notices : go to CBOT.com, on the top toolbar go to news, then choose newsletters and subscribe to Position Change Notices.

 

[newbunch]

I wish they made it simpler. There is no confusion rolling over the S&P e-mini on the CME. And I don't have to worry about delivery with the S&P either. We need to be extra careful with the bond futures so we don't end up taking delivery.

 

[newbunch]

IB has rules as to when to roll over you bond futures:
2 hours before the end of open outcry trading on the business day prior to First Notice Day (longs) or Last Trading Day (shorts)

Here is the CBOT bond futures schedule:
http://cbot.com/cbot/pub/page/0,3181,1082+TY+all+2005,00.html

So I really have to roll over the morning prior to the first notice day. In other words, tomorrow morning.

 

[Ebo]

I am so confused, I think I will just trade ZBH06 in case I forget to roll during the Holidays.

 

[newbunch]

Quote from Ebo:

I am so confused, I think I will just trade ZBH06 in case I forget to roll during the Holidays.

I set up reminders in Outlook so I won't forget. But I agree that we have to be extra careful with these bond futures, unlike the S&P. To help, I made the Bond Future Rollover calendar item extra large so I'll see it in advance.

 

[newbunch]

Rolled over the future. Thank goodness I read ET. I didn't think I had to roll over until later in September, like with the S&P contract.

From now on, I'll roll over two days before the first notice day. I could even roll over the day before, but I'll do it a day early just in case a problem comes us, like a broken computer, bad net connection, etc.

 

[Bernard111]

Quote from Bernard111:

The front month date is determined by contract's pit committee.
Maybe it could be of help to receive the trading position change notices : go to CBOT.com, on the top toolbar go to news, then choose newsletters and subscribe to Position Change Notices.

According to the CBOT Market Report Department, "in the financials when the month changes from the center to the top it becomes the front month."

So, briefly, subscribing to that notices you will be able to know the front month changes.