0
$\begingroup$

I can find several source on this site where to find expiry dates of coming futures contracts.

I am looking for a (e.g. Python) algorithm or a data source where I can find historical dates when a certain futures contract expired in the past.

I am specially interested in stock index futures and - if possible - back to more than 10 years.

$\endgroup$
3
  • 1
    $\begingroup$ Since inception of S&P trading the expiry date of S&P futures has been the third friday of HMUZ month. That is easy to calculate in Excel, for ex. $\endgroup$
    – noob2
    May 17 at 3:14
  • $\begingroup$ Thanks for your quick reply. I am unsure about holidays. If e.g. that Friday is the day before the Easter weekend - would the expiry date shifted in that case (and on which day)? $\endgroup$
    – user312087
    May 17 at 3:49
  • 1
    $\begingroup$ expiry would be adjusted to preceding business day. You can get exchanges calendars from quantlib, e.g. github.com/gerrymanoim/exchange_calendars $\endgroup$ May 17 at 12:57
1
$\begingroup$

There's no need to calculate these dates, as there are many data sources that record exactly when the last trading date was for each expiry. It's standard stuff. Try the exchange website, it's probably free, and the exchange is authoritative.

Same holds for prospective dates/expiries out to a rolling horizon. IIRC it's usually a few years for equity index futures.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.