TOCOM - First Notice Days?

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strix
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TOCOM - First Notice Days?

Post by strix » Tue Aug 16, 2011 8:21 pm

Just a quick question for any of y'all who trade futures on TOCOM...

When do you need to offset a long position to avoid delivery of a physically settled contract? The TOCOM website has a "Business Calendar" that lists Last Trading Days and Delivery Days, but they don't seem to mention First Notice Days.

Is it as simple as offsetting on or before the Last Trading Day?

Any advice on this matter would be MOST appreciated.

sluggo
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Post by sluggo » Tue Aug 16, 2011 9:08 pm

I've never found out either. This is because I trade the back months and roll to a more distant back month, many many weeks before expiration. At least for the TOCOM markets that I happen to trade, I think there's better liquidity in the back months. Sorry!

One of my brokers has a website called eMIDAS which reports some of this stuff, regrettably, not TOCOM FND.
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strix
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Post by strix » Tue Aug 16, 2011 9:58 pm

Thanks, Sluggo. Your findings are certainly consistent with the rollover behavior of a CSI volume-based roll trigger.

E.g., a volume trigger will roll out of TOCOM Jun11 silver as early as 8-30-2010.

I don't trust roll triggers that aren't date-based, but it's good to know that a simple volume-based roll essentially guarantees you won't get delivered on --- in this case, anyway.

sluggo
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Post by sluggo » Tue Aug 16, 2011 11:30 pm

Good. I myself use calendar date rollovers @ TOCOM. I haven't done exhaustive comparisons with other roll triggers to conclusively determine "which is optimum" since I enjoy knowing, months in advance, exactly what day I will be rolling from X to Y. Naturally, other traders have other preferences, and God blessem too. It takes a difference of opinion to make a market.

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