Expiration & Rollover Dates

[Mark Byrd <markb@xxxxxxxxx>]

I need some help and while I know this may be a bit off the list subject
any help would be greatly appreciated.

I’m doing some work with continuous contracts and need to know the rules
for what I call the “rollover dates” for various commodities.  The
“rollover date” I am referring to is the day which the commercials
switch the front month to the next contract month . I specifically need
the rules and not just the dates.

Example:

The S&P contract expires on the 3rd Friday of the contract month.  The
commercials “rollover date” is the Thursday of the week prior to the
expiration date.

I need the rules for other commodities so I can program when to
switch from one month to the next and on which date.  I am creating my
own continuous contract.

In addition, if you have a favorite place on the web that has expiration
calendars (or report calendars) for the commodities would you please
send me the web address so I can have it for reference.   I know of
several places already but amazingly the information they contain do not
agree with each other.

I was told one time that the reason the financials have a “rollover
date” is that there is no physical delivery of the commodity.  For those
commodities that can actually  be delivered the “rollover date” is the
First Notice Date.  I am not sure I  buy that so if you can help I will
reward you buy sending the results of what I find out by distilling
everyone’s input.

Since I already feel guilty asking this on the Omega List, unless you
think your answer will benefit the list, please send your answers to me
in private.  I will post the findings in 1 post at some point in the not
to distant future.

Thanks for any help in advance . . .

Mark Byrd


P.S. Since I was born in Missouri I am the epitome of “Show Me”.  If you
provide me with rules, please give me an example with a current contract
and real dates so my dense brain can follow your rules.

Thanks