Euro-Bund Futures FGBL


I've been struggling to work out the expiration day(s) of the Euro-Bund Futures (FGBL) and have found the rules now so I'm putting them here so I can find them again in the future.

Delivery Day

The tenth calendar day of the respective quarterly month, if this day is an exchange day; otherwise, the exchange day immediately succeeding that day.

Last Trading Day

Two exchange days prior to the Delivery Day of the relevant maturity month. Close of trading in the maturing futures on the Last Trading Day is at 12:30 CET.

So for 2008:


Month          LTD         DD

Mar (H)        6 (Thu)     10 (Mon)

Jun (M)        6 (Fri)     10 (Tue)

Sep (U)        8 (Mon)     10 (Wed)

Dec (Z)        8 (Mon)     10 (Wed)
quote:
Daily Settlement Price

The Daily Settlement Price for the current maturity month is derived from the volume-weighted average of the prices of all transactions during the minute before 17:15 CET (reference point), provided that more than five trades transacted within this period.

Final Settlement Price

The Final Settlement Price is established by Eurex on the Final Settlement Day at 12:30 CET; based on the volume-weighted average price of all trades during the final minute of trading provided that more than ten trades occurred during this minute; otherwise the volume-weighted average price of the last ten trades of the day, provided that these are not older than 30 minutes. If such a price cannot be determined, or does not reasonably reflect the prevailing market conditions, Eurex will establish the Final Settlement Price.

I'm guessing that the Daily Settlement Price rules following the cascading formula that the Final Settlement Price follows if the number of trades requirement is not met.
Emini Day Trading / Daily Notes / Forecast / Economic Events / Search / Terms and Conditions / Disclaimer / Books / Online Books / Site Map / Contact / Privacy Policy / Links / About / Day Trading Forum / Investment Calculators / Pivot Point Calculator / Market Profile Generator / Fibonacci Calculator / Mailing List / Advertise Here / Articles / Financial Terms / Brokers / Software / Holidays / Stock Split Calendar / Mortgage Calculator / Donate

Copyright © 2004-2023, MyPivots. All rights reserved.