|
PureBytes Links
Trading Reference Links
|
At 10:12 AM 3/8/99 -0700, Neil Harrington wrote:
>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
>
Actually, it's different. I had been assuming the same thing. I'm not
trading bonds, so my ignorance wasn't costly. Something raised my
suspicions and I posted my original question. Based on the responses, I
checked tick volume for the two relevant contracts at several dates around
the year.
The next T-bond contract in the sequence becomes the lead contract
(volume-wise) on the last trading day of the month preceding expiration.
Thus, the June '99 T-bond contract began trading in ernest on February 26,
1999, with volume in the March contract dropping correspondingly.
Allan
"It is unfortunate, considering that enthusiasm moves the world, that so
few enthusiasts can be trusted to speak the truth." - Arthur James Balfour
|