Understanding Contract Trading Codes

What are Trading Codes?

The display format of futures contract codes is fundamental to understanding pricing across multiple expirations.

Contract display codes are typically one- to three-letter codes identifying the product followed by additional characters indicating the month and year of expiration. The format of a contract code varies according to the asset class and trading platform. Many contract codes originated on the trading floor to convey maximum information with the fewest characters and migrated intact to the electronic environment.

For this exercise, let’s first look at the E-mini S&P 500 futures contract. The CME Globex contract code this product is ES, which is also the contract code used on CME ClearPort. Now let’s look at the Eurodollar futures contract. On CME Globex, this contract is identified by the code GE. On CME ClearPort, this product is identified by the code ED.  It is therefore important to be aware that contract codes can vary across platforms.

For contract expiration, additional characters added to the right of the contract code indicate month and year.

Each calendar month expiration is identified by a single letter as follows:

• January – F
• February - G
• March -H
• April -J
• May - K
• June - M
• July - N
• August - Q
• September -U
• October - V
• November -X
• December -Z

Available contract expiration months may vary by product, but the letter following the contract code always indicates expiration month.  The expiration year is indicated following the month as a numeric value.

Let’s construct the display code for the E-mini S&P 500 futures contract expiring January 2019. The first determining factor is trading platform and for this example we will use CME Globex. For CME Globex the E-mini S&P contract code is ES. Following ES, we add the expiration month, which for January is the letter F. Finally, we add a 9 for 2019. Therefore the display code for the E-mini S&P 500 futures contract expiring in January 2019 is: ESF9.

These general rules apply to the format of futures contract codes, but it is important to be aware that codes and available expirations can vary across platforms.