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Recommended Roll Dates

While most futures contracts will roll in TickWrite using the FRONT and AUTO methods, some contracts will not roll using these settings. The exceptions are indicated below:

Symbol Description Exchange Sector Roll Date Notes
AD Australian Dollar CME Group CURRENCY 11
AI DJ UBS Commodity Index Futures CME Group EQUITY 11
AU Australian 90-Day Bank Bill ASX Group INTEREST RATE 0 Roll on ‘Expiration’; ‘Most Active’ Recommended
AX Australian 10 yr Bond ASX Group INTEREST RATE 0 Use ‘Expiration’ Roll Method
AY Australian 3 yr Bond ASX Group INTEREST RATE 0 Use ‘Expiration’ Roll Method
AZ 30 Day Interbank Cash Rate ASX Group INTEREST RATE 3
BD Big Dow CBOT/CME Group EQUITY 12
BL Euro-Bobl 5 yr Eurex INTEREST RATE *28
BM Bovespa, Mini BM&F Bovespa EQUITY 14
BN Euro-Bund 10 yr Eurex INTEREST RATE *28
BO Soybean Oil CBOT/CME Group GRAIN *20
BP British Pound CME Group CURRENCY 10
BR Brazilian Bovespa Futures BM&F BOVESPA EQUITY 0 Use ‘Expiration’ Roll Method
BX Euro-Buxl 30 yr Eurex INTEREST RATE *28
BZ Euro-Schatz 2 yr Eurex INTEREST RATE *28
CA FTSE China A50 Singapore Exchange EQUITY 29
CB Canadian 10 yr Montreal Stock Exchange INTEREST RATE *27
CC Cocoa ICE Intercontinental Exchange SOFTS *15
CD Canadian Dollar CME Group CURRENCY 10
CF CAC 40 Index Futures NYSE Liffe EQUITY 0 Use ‘Expiration’ Roll Method
CL Light Crude NYMEX NYMEX/CME Group ENERGY *19
CM Corn E-Mini CBOT/CME Group GRAIN *20
CN Corn CBOT/CME Group GRAIN *20
CO Brent Crude ICE Intercontinental Exchange ENERGY 0
CT Cotton #2 Intercontinental Exchange SOFTS *20
CX Canadian Bankers’ Acceptance 3 mo Montreal Exchange INTEREST RATE 28
DA DAX Futures Eurex EQUITY 17
DJ DJIA Futures CBOT/CME Group EQUITY 12
DM German Mark CME Group CURRENCY 10 Stopped collecting 08/1999
DX Dollar Index ICE Intercontinental Exchange CURRENCY 1
EC Euro FX CME Group CURRENCY 10
ED Eurodollar CME Group INTEREST RATE *15 Roll using 3rd back-month
EE Euro FX E-mini CME Group CURRENCY 10
EI MSCI Emerging Markets Mini NYSE Liffe US EQUITY 12
EL Eurodollar-NYSE LIFFE Futures NYSE U.S. LIFFE EQUITY 21
EM LIBOR 1 mo CME Group INTEREST RATE *28 Stopped collecting 07/2001
EN Nikkei 225 Futures SGX Singapore Exchange EQUITY 0 Use ‘Most Active’ or HMUZ; ‘Expiration’ Roll Method
EO Amsterdam AEX Index Futures NYSE Liffe EQUITY *20
ER Russell 2000 Mini Intercontinental Exchange EQUITY 12
ES S&P 500 E-Mini CME Group EQUITY 12
ET Denatured Ethanol CBOT CBOT/CME Group ENERGY *20
EU Euro FX E-micro CME Group CURRENCY 13
FC Feeder Cattle CME Group MEAT *29 Gap 3/1981
FF 30-Day Federal Funds CBOT/CME Group INTEREST RATE *28
FS 5-Year Interest Rate Swap CBOT/CME Group INTEREST RATE *28
FT FTSE 100 Index Futures NYSE Liffe EQUITY 21
FV TNote 5 yr CBOT/CME Group INTEREST RATE *28
GC Gold COMEX COMEX/CME Group METAL *27 Use ‘Most Active’
GL Long Gilt NYSE Liffe INTEREST RATE 5
GO Gasoil Future ICE Intercontinental Exchange ENERGY 0
HC Hang Seng China Enterprises Index Hong Kong Stock Exchange EQUITY 29
HG Copper High Grade COMEX COMEX/CME Group METAL *27 Use ‘Most Active’
HI Hang Seng Index Futures Hong Kong Exchanges EQUITY 28
HM Hang Seng mini Hong Kong Futures Exchange EQUITY 29
HO Heating Oil #2 NYMEX NYMEX/CME Group ENERGY *27
HU Unleaded Gasoline NYMEX NYMEX/CME Group ENERGY *27 Stopped Collecting 12/2006
IB IBEX 35 Futures MEFF Renta Variable EQUITY 18
IG NYH (RBOB) Gasoline ICE Intercontinental Exchange ENERGY 0 Use ‘Expiration’ Roll Method
II FTSE MIB Index Futures Borsa Italiana EQUITY 18
IM FTSE MIB Mini Borsa Italiana EQUITY 17
IN UK Natural Gas ICE Intercontinental Exchange ENERGY 0 Use ‘Expiration’ Roll Method
IO Heating Oil ICE Intercontinental Exchange ENERGY 0 Use ‘Expiration’ Roll Method
IX IBEX 35 Mini MEFF Renta Variable EQUITY 16
JA Platinum TOCOM Tokyo Commodity Exchange METAL 0
JB Japanese 10 yr Bond TSE Tokyo Stock Exchange INTEREST RATE 12
JE Japanese Yen E-Mini CME Group CURRENCY 10
JG Gold TOCOM Tokyo Commodity Exchange METAL 0 Use ‘Expiration’ Roll Method
JM Gold Mini-sized TOCOM Tokyo Commodity Exchange METAL 28
JO Orange Juice ICE Intercontinental Exchange SOFTS 1
JY Japanese Yen CME Group CURRENCY 10
KC Coffee “C” Intercontinental Exchange SOFTS *20
KE Korean 3 yr Korea Exchange INTEREST RATE 20 Use ‘Expiration’ Roll Method
KM KOSPI 200 Futures Korea Exchange EQUITY 0 Use ‘Expiration’ Roll Method
LB Lumber CME Group SOFTS *24
LC Live Cattle CME Group MEAT *29
LH Lean Hogs CME Group MEAT *24 Gap 3/1981
MB Municipal Bonds CBOT/CME Group INTEREST RATE *28 Stopped Collecting 3/2006
MD S&P 400 MidCap Futures CME Group EQUITY 12
ME Mexican Peso CME Group CURRENCY 10 Uncheck all contract months except H,M,U,Z
MG MSCI EAFE Mini NYSE Liffe US EQUITY 12
MI S&P 400 MidCap E-Mini CME Group EQUITY 12
MS Soybeans E-Mini CBOT/CME Group GRAIN *20
MW Wheat E-Mini CBOT/CME Group GRAIN *20
ND NASDAQ 100 Futures CME Group EQUITY 12
NE Nikkei 225 Futures OSE Osaka Securities Exchange EQUITY 0
NF S&P CNX Nifty Index Futures National Stock Exch of India EQUITY 26
NG Natural Gas NYMEX NYMEX/CME Group ENERGY 0 Use ‘Expiration’ Roll Method
NK Nikkei 225 Futures CME CME Group EQUITY 0 Use ‘Expiration’ Roll Method
NM Nikkei 225 mini Osaka Securities Exchange EQUITY 9
NQ NASDAQ 100 E-Mini CME Group EQUITY 12
NZ New Zealand Dollar CME Group CURRENCY 11
OA Oats CBOT/CME Group GRAIN *20
OB One-Day Interbank Deposit BM&F Bovespa INTEREST RATE 22 Use ‘Most Active’
PA Palladium NYMEX NYMEX/CME Group METAL *26 Uncheck all contract months except H,M,U,Z
PB Pork Bellies CME Group MEAT *29
PL Platinum NYMEX NYMEX/CME Group METAL *26 Roll on Expiration and only check F,J,N,V contracts
PT S&P Canada 60 Futures Montreal Stock Exchange EQUITY 9
QG Natural Gas E-Mini NYMEX/CME Group ENERGY 0 Use ‘Expiration’ Roll Method
QM Crude Oil E-Mini NYMEX/CME Group ENERGY *19
RL Russell 2000 Futures Intercontinental Exchange EQUITY 12 Stopped Collecting 12/2008
RM Russell 1000 Mini Intercontinental Exchange EQUITY 12
RR Rough Rice CBOT/CME Group GRAIN *20
SB Sugar #11 Intercontinental Exchange SOFTS *25
SF Swiss Franc CME Group CURRENCY 10
SM Soybean Meal CBOT/CME Group GRAIN *20
SP S&P 500 Futures CME Group EQUITY 12
ST Sterling 3 mo NYSE Liffe INTEREST RATE *15 Roll using 3rd back-month and ‘Most Active’
SV Silver COMEX COMEX/CME Group METAL *27
SW Swiss Market Index Futures Eurex EQUITY 13
SY Soybeans CBOT/CME Group GRAIN *20
TB TBills CME Group INTEREST RATE *28 Stopped collecting 09/2003
TM Mini Topix Tokyo Stock Exchange EQUITY 0 Use ‘Expiration’ Roll Method
TP TOPIX Futures TSE Tokyo Stock Exchange EQUITY 0 Use ‘Expiration’ Roll Method
TS 10-Year Interest Rate Swap CBOT/CME Group INTEREST RATE *28
TU TNote 2 yr CBOT/CME Group INTEREST RATE *28
TW MSCI Taiwan Index Singapore Exchange EQUITY 27 Received on a delayed basis
TY TNote 10 yr CBOT/CME Group INTEREST RATE *28
UB Ultra Tbond CBOT/CME Group INTEREST RATE *28
UR Euribor 3 mo NYSE Liffe INTEREST RATE *15 Roll using 3rd back-month and ‘Most Active’
US TBond 30 yr CBOT/CME Group INTEREST RATE *28
VH STOXX Europe 50 Index Futures Eurex EQUITY 13
VX VIX Futures CBOE EQUITY 8
WC Wheat CBOT CBOT/CME Group GRAIN *20
WM Wheat No. 2 Milling NYSE Liffe NYSE LIFFE GRAIN *15
WT WTI Crude Future ICE Intercontinental Exchange ENERGY 0 Use ‘Expiration’ Roll Method
XB RBOB Gasoline Futures NYMEX NYMEX/CME Group ENERGY *27
XG Gold Mini-sized NYSE Liffe NYSE Liffe US METAL *27
XP ASX SPI 200 Index Futures ASX Group EQUITY 13 Roll on ‘Expiration’ and use ‘Most Active’
XX EURO STOXX 50 Index Futures Eurex EQUITY 13
YM Dow Jones E-mini CBOT/CME Group EQUITY 12
YS Silver Mini-sized NYSE Liffe NYSE Liffe US METAL 21
YX NYSE Comp Futures New York Futures Exchange EQUITY 12 Stopped collecting 05/2003

 

NOTE: An asterisk next to Roll Date indicates this roll date is in month prior to expiration month.

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