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The difference is that the S&P 500 has a cash settlement (no physical
delivery) and the Bonds have a physical delivery. On First Notice day
for Bonds, you can make or take delivery. Hence, they roll out to the
next contract on first notice day. If you have a long position in Bonds,
you should roll it out the day before 1st notice day.
>
> 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
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