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Futures Expiration Calendars and Front-Month Selection

Article Quant Q&A · Author: user20664
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Summary

The document asks how to identify futures expiration dates programmatically and determine the current front-month contract. It explains why selecting the contract for the calendar month alone can fail: some futures do not trade every month, and a current-month contract may already have stopped trading.

The response points to premium market-data providers and suggests checking individual contract data from a free data source. It cautions that the nearest-expiring contract is not always the most liquid, and that several contracts can be liquid at once, particularly in commodities and interest-rate futures. It also notes that tradability alone does not make a contract appropriate to hold; physical-delivery contracts require attention to first notice dates. No universal roll rule or detailed data workflow is supplied.

Key ideas

  • Calendar-month selection alone cannot reliably identify the active futures contract.
  • Expiration information is available from commercial providers and may be found in individual contract data.
  • The nearest expiration does not necessarily identify the most liquid contract.
  • Physical-delivery futures require attention to first notice dates and delivery exposure.

Tags

FuturesCommoditiesFixed incomeMarket microstructure
Full text
# Need a reliable source of futures expiration dates


# Need a reliable source of futures expiration dates












I am trying to determine (programmatically) what the current front month contract for a given futures symbol is.

I would guess that all futures contracts expire on a standard time relative to their exchange.

The trivial solution:

- Get current month

- Retrieve symbol for current month

Obviously doesn't work. Some futures don't trade on the current month, and its possible the current month's contract has closed and the next month is now trading actively.

Is there any resource available that has expiration dates for contracts that I can use? Or is there a way to determine with some simple rules what the front month currently is?

Thanks!

## Answer by Chris Taylor (score 2)

https://quant.stackexchange.com/a/28054

Any premium data provider (e.g. Reuters, Bloomberg) will provide this information.

If you are looking for free data, you could check out the individual contract data on Quandl.

Note that the contract that will expire next is not necessarily the most liquid contract, and that many underliers have multiple liquid contracts trading at any one time (especially commodities and interest rate futures). Also, just because a contract is tradable, does not mean that you should trade it! As one example, you generally don't want to be long a contract that has physical delivery after the first notice date.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.