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Futures Expiration

A futures expiration calendar comes in handy when trading in futures contracts.

As retail traders who are only interested in making money from the price movements of the futures contract, we will definitely need to know when a futures contract we are holding is expiring, to prevent ‘accidental’ delivery.

Futures Expiration Calendar Symbols

Some explanation of the symbols used in any futures expiration calendar:

Using “OJK11 (FN)” as an example,

First 2 letters stands for the futures code, depending on the type of futures, such as euro, gold, 2-yr-bond or nikkei index.

Third letter stands for the month of expiration of the futures contract. The month codes are as follows:

F – January
G – February
H – March
J – April
K – May
M – June
N – July
Q – August
U – September
V – October
X – November
Z – December

Next 2 letters stands for year of expiration of contract. In this case, “11” stands for year 2011.

The 2 letters in brackets stands for the following:

LT = Last Trade Day, final day when the futures contract must be closed.
LTO = Last Trade Day for Options
FN = First Notice, the first day a notice of intent can be made by a clearing house or buyer.

Futures Reference Guide

Roll-over

Roll-over is when a new contract month becomes the dominant contract. This is in terms of greater volume and open interest. For example, today is 9th June 2011, and we are trading in 5-yr Treasury Notes June contracts. On the trading floor, the 5-yr Treasury Notes September contract will be referred to as the “front month” and many charting packages on 9th June 2011 will show the September as the default contract.

Day-traders will gradually focus more of their trading in the 5-yr Treasury Notes September contract and position traders will be unwinding their 5-yr Treasury Notes June contracts positions and re-establishing them in the 5-yr Treasury Notes September contracts.

Forex is traded in a continuous spot forex contract and in forex futures contracts form. When the forex futures contract roll-over , which takes place over a week or so, you will notice significant movement in the forex prices. Usually, in the form of the reversal of a medium term trend or a sideways waveform.

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