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I have been trying to figure out the futures roll dates for CBOT/CME grains and interest rates. Specifically when the second calendar contract becomes the lead. There are an array of answers that involve different day count calculations. After doing my own research it appears that the roll takes place 1 day prior to the first notice day. I would greatly appreciate it if someone could confirm this. Thank You
Can you help answer these questions from other members on NexusFi?
The following applies to many (if not most) futures contracts especially those from the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT).
Rollover is 8 days before expiration.
Expiration is the …
