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I assume it may be the same rule as the S&P (which is what I watch). The
front month of the S&P changes the Thursday the week before the Friday of
expiration.
For example, this Thursday, March 11, 1999, is the Thursday a week before
Friday, March 19, 1999, the Friday that the March S&P futures contract
expires.
So, on this Thursday (3/11/99), the June S&P contract (SP9M), becomes the
front contract, and the Premium starts reporting the difference between the
cash S&P and the SP9M contract.
Neil
-----Original Message-----
From: Stewart Taylor [mailto:staylor@xxxxxxx]
Sent: Monday, March 08, 1999 6:39 AM
To: Allan Kaminsky; omega-list@xxxxxxxxxx
Subject: Re: T-Bond Futures Lead Contract
Im not sure that there is a rule, but it always occurs within a day or two
of first notice day. Anyway, I always call one of my brokers a few days
before to make sure. I think someone told me years ago that a committee
decided exactly when.
Anyway, if someone else has a better handle please share it.
Stewart.
At 09:17 PM 3/7/99 -0700, Allan Kaminsky wrote:
>What are the rules governing the date on which the switch is made for the
>lead contract in the US 30 year T-Bond futures (CBOT)?
>
>Allan
>
>"I generally avoid temptation unless I can't resist it." - Mae West
>
>
Stewart Taylor
Taylor Fixed Income Outlook
Voice: 501-219-9774
Fax: 501-228-0963
E-Mail: staylor@xxxxxxx
Web Site: http://www.cei.net/~staylor/
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