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Can I roll over the day after expiration?

Posted: Mon Oct 22, 2012 8:41 pm
by sunyata
If the expiration date of an individual contract is 3/12/12, can I roll over the following morning on 3/13/12? I am guessing the answer is "no," but I wanted to confirm.


Posted: Tue Oct 23, 2012 8:40 am
by dhills2
My understanding is that if you hold onto your position in the current contract until the expiry date, you will be forced to take delivery of the underlying physical asset (e.g. 5000 bushels of corn). You would then need to sell that physical asset in order to get the cash you require to enter the same position in the new contract. It's going to be a lot more effort than simply closing out the position at some point before expiry and rolling straight into the new contract at that time.

The above assumes that you are long. If you are short, things get more complex (you would be the one contracted to deliver the physical asset).

Posted: Tue Oct 23, 2012 9:21 am
by Wisdom
A lot of markets are cash settled these days. If you are trading in a market that is cash settled, it's possible to Buy or Sell the next contract month to continue your trade without an extra transaction fee or rollover. You could do this on the same day as expiration, or the day after expiration.

It's helpful to know the time that the cash settlement occurs so you can place the new order as close to the expiration time as possible to avoid being out of the market.

Posted: Tue Oct 23, 2012 9:43 am
by sunyata
As usual, nothing is as cut-and-dry as I originally surmised. I am looking forward to receiving Futures 101 in the mail.

I asked this question because I am building software to create continuous contracts and wonder if it is realistic to start the next contract the day after the expiration date of the previous contract. In my current software, this happens if rolling on OI and there are not two consecutive triggers prior to the expiration day in the previous contract.

Posted: Tue Oct 23, 2012 10:36 am
by Imperium
Be careful of some US futures as they operate a First Notice Days (FND) where you can get called if you hold these even though the contract hasn't expired.

Crude Oil

Posted: Tue Oct 23, 2012 2:23 pm
by mirec79
Does anyone have an idea why is the expiration day of CL earlier than first notice day?

For all another commodities the FND is earlier than expiration day.