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Mike,
I am not sure why the CBOT does not include that information on their site
under knowledge center/contract specs/interest rate contracts.
Due to the number of times I see this information requested, I have
previously requested the CBOT include this information a year ago, which
they acknowledged it should, but it is yet to be added?
I believe the bond roll occurs on a very specific date (which is also
accompanied accordingly, by a shift in the volume to the new front month
contract) which is the day before the last "trading" day of the month.
----- Original Message -----
From: "Mike Marcott" <omegalist@xxxxxxxxxxx>
To: "omega list" <omega-list@xxxxxxxxxx>
Sent: Tuesday, December 09, 2003 11:06 PM
Subject: When do Bonds/Notes Roll?
> Hello List,
>
> When do the Bonds/Notes (US, TY, FV, TU) roll to the next contract? Is
> it a set date or is it based on volume? Where would I find info on this?
>
> S&P contract rolls on the Thursday the week prior to expiration - do the
> bonds/notes do the same?
>
> Any info would be greatly appreciated. Thank you.
> --
> Best Regards,
>
> Mike
>
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