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spinan
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Joined: April 6th, 2003, 6:16 pm

Rolling and expiry dates for emissions futures contracts

June 26th, 2019, 10:44 pm

Hello, just thought in the Trading forum would have most users familiar with futures...

I'm trying to work with historical prices of futures on emissions EUA. I downloaded some data from Bloomberg terminal in our university library. 
I have timeseries which span years (actually, 155 columns of some products related to EUA futures with prices going back to January 2008), and I want to find corresponding rolling dates and expiry dates. I know that from description it would be third Monday of expiry month, but from looking at data it doesn’t quite look like that is the case. 

Question 1: for given below contract description, MO13 Comdty, what does Underlying field "MOU9 Comdty" mean? Also, I expanded list of contracts and I can see that all of them have Start and End dates around 3 months - but I would expect a Generic 13th 'MO' Future contract to have a longer time to expiry?
https://www.dropbox.com/s/79wjinb6wibfo ... y.PNG?dl=0


Question 2: tbc, once I get back to my office and grab another screenshot for another interesting case.

Thank you for reading!
 
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Alan
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Re: Rolling and expiry dates for emissions futures contracts

June 27th, 2019, 2:34 pm

Kind of guessing, but it looks from your screen shot that this is a series that keeps a continuous record by rolling every 3 months into a (new) distant maturity contract. At the time of the screen shot, looks like the series reflects a Dec 2025 contract (MOZ5 25). You've got the complete list of which series was the underlying at each historical date. Will guess MOU9 was a Sept 2019 contract. According to the screen the ticker formats changed, which is why they are not uniformly in the same format. 
 
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tags
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Re: Rolling and expiry dates for emissions futures contracts

June 27th, 2019, 9:11 pm

Some observations:
You joined this forum in 2003. You mention you got quotes from your Univ Library.
So you got quotes from your Univ Library, and then suggest you would need to go back to your office for another screenshot.

Standard way to get answers to such questions is <HELP><HELP>. But it seems your setup is not standard.

MO is the ticker for UEA emissions futures.
MO13 is the continuous time series made of the 13th nearby, rolled over and over
U, in derivatives parlance, is the month of September. MOU9 is Sep-19 UEA emissions futures contract.


Without any surprise, Alan's guess was just right.
 
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spinan
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Joined: April 6th, 2003, 6:16 pm

Re: Rolling and expiry dates for emissions futures contracts

July 3rd, 2019, 12:05 pm

Thank you. I think I understand that now. 

We use those Start and End dates only to know what contract is currently "considered"

and for the considered contract, from Bloomberg screen we read First Delivery as the maturity/expiry.



another example:

MOMAR1 - has first Underlying MOH20

https://www.dropbox.com/s/e7tp4rweft4y6 ... 1.PNG?dl=0



MOH20

https://www.dropbox.com/s/awpj4mcwr1i52 ... 0.PNG?dl=0


so for MOMAR1, between historical dates of 26th Mar 2019 and 3rd July 2019 we use MOH20 contract with maturity 31st Mar 2020, and then between 20th Mar 2018 and 25th Mar 2019 we use MOH9 with time to maturity given on Bloomberg screen for MOH9 (under say First Delivery again - not provided here because I did not take screenshot of that)