First Notice Day and Last Trading Day

First notice day (FND) is the first day on which the holder of a short position in a physically settled futures contract can notify the exchange that they intend to deliver the underlying asset. From that day on, anyone still holding a long position can be assigned delivery. For speculators who have no interest in receiving barrels of oil, bushels of corn or Treasury notes, first notice day is the practical deadline for closing or rolling long positions.

First notice day vs last trading day#

For some contracts, first notice day comes before last trading day (for example, many grain, metal and Treasury futures). For others, such as WTI crude oil, trading ends before the delivery period begins, so the last trading day is the key date.

Typical first notice day rules#

Exact rules are in each contract's specifications and can change. See Contract Specifications.

What happens to liquidity#

As first notice day approaches, speculators exit the expiring contract. Volume and open interest shift to the next month, and the expiring contract's spreads can widen. The remaining participants are mostly commercial firms prepared to make or take delivery. See Rolling Futures Contracts.

Broker deadlines#

Many retail brokers set their own cut off, often several business days before first notice day, after which they will not allow new positions in the expiring contract and may liquidate existing long positions. Their margin requirements may also rise sharply for positions held into the delivery period. Check your broker's calendar. See Futures Margin: Initial and Maintenance.

Planning around first notice day#

1. Note FND and last trading day for every contract you trade.
2. Roll early, when volume in the next month overtakes the current one.
3. Use calendar spread orders to roll in one transaction. See Calendar Spreads in Futures.
4. Watch broker emails and platform alerts about expiring positions.
5. For shorts, know the last trading day and whether you could be required to deliver.

Why it matters for data and backtests#

Continuous futures series often roll a few days before first notice day for physical contracts, so backtests reflect where speculators actually trade. Using a series that rolls on the last trading day could include illiquid days with misleading prices. See Continuous Futures and Back-Adjustment.

Frequently asked questions#

What is first notice day in futures?#

The first day on which sellers of a physically settled futures contract can notify the exchange of intent to deliver, after which long holders may be assigned delivery.

What happens if I hold a futures contract past first notice day?#

You may be assigned delivery of the underlying asset, and your broker may liquidate the position or charge higher margin.

Do cash settled futures have a first notice day?#

No. Cash settled contracts, such as E-mini S&P 500 futures, settle in cash and have no delivery notices.

Next, learn how traders profit from the gap between futures and spot in Cash-and-Carry Arbitrage.