First notice day in futures: the exit deadline for physically-settled long positions
Most futures traders never intend to take delivery of the underlying commodity. Yet without knowing one date—first notice day—a long position in a physically settled futures contract can trigger an obligation to receive barrels of crude oil, metric tonnes of copper, or bushels of wheat. First notice day is not just a deadline: it is the point after which the delivery obligation can no longer be avoided by selling the contract, because a notice may already have been assigned.
What first notice day is
For physically settled futures contracts, two key dates govern the expiry process. Last trading day (LTD) is the final date on which the contract can be traded in the open market. First notice day (FND) is the first date on which the short holder can issue a delivery notice to the long holder, initiating the physical settlement process.
Critically, FND almost always precedes LTD. This means that if a long holder waits until last trading day to exit, it is already too late to avoid the risk of receiving a delivery notice. Once a delivery notice has been issued to a long, the long holder is obligated to accept delivery of the underlying commodity. The obligation cannot be cancelled by selling the futures contract after the notice has been assigned—the delivery must proceed.
For cash-settled contracts—equity index futures, VIX futures, most interest rate futures—there is no first notice day. The only relevant date is last trading day, at which point the contract settles automatically in cash. The distinction between the two settlement types determines whether FND is a relevant risk at all.
How FND timing varies by contract
FND timing is not standardised across exchanges or contracts. Each contract specifies its own FND in the exchange rule book, and variations are significant.
NYMEX crude oil (CL). Last trading day is the third business day before the 25th calendar day of the month preceding the delivery month. First notice day is the first calendar day of the delivery month. In practice, CL's FND falls approximately three to four weeks before the contract becomes the front month—meaning the roll window is unusually long. A long holder in the April CL contract must be out before the first business day of April.
COMEX gold (GC). FND is the second to last business day of the month preceding the delivery month, and LTD is the third to last business day of the delivery month. Gold therefore has a window of roughly six weeks between FND and LTD.
CBOT corn (ZC). FND is the first business day of the delivery month, consistent with most agricultural contracts.
The practical implication: always verify the FND for each contract individually using the exchange's official contract specification. Do not assume FND timing transfers from one commodity to another.
Roll timing relative to FND
Institutional systematic managers and professional commodity traders typically roll positions five to ten business days before FND—not before last trading day. This buffer serves two purposes. First, it ensures the position is closed before any delivery notice risk materialises. Second, it allows the roll to be executed while the next-month contract is still building liquidity, reducing bid-ask spreads and market impact.
Rolling immediately before FND, when the current front-month contract's open interest is concentrated and falling rapidly, increases execution risk. Liquidity migrates to the next contract in the weeks before FND; the longer a holder waits to roll, the fewer counterparties are available in the expiring contract and the wider the bid-ask spread. For large positions, this execution cost can easily exceed the roll yield difference between rolling five days early and rolling one day before FND.
Limitations
FND dates are set by exchange rule and are subject to change, particularly around public holidays. Exchange holiday calendars affect the business-day calculations used to determine FND and LTD. Any automated roll system must incorporate the correct exchange calendar—using a simplified five-day business-week assumption for all dates will produce errors around market holidays.
Some clearing brokers restrict long positions in physically settled contracts starting several days before FND, automatically closing positions if the long holder does not act. Each broker's policy differs; retail participants in particular should confirm their broker's liquidation policy for physically settled contracts before entering a position.
First notice day in pfolio
pfolio's continuous futures chain builder rolls positions before FND according to the user-configured roll date parameter. The default roll schedule ensures positions are exited before delivery risk materialises for any physically settled contract in the platform. For each futures instrument, pfolio displays both the settlement type and the applicable FND calendar, so users can verify the roll timing relative to each contract's specific delivery schedule. See physical delivery and cash settlement for the full distinction between the two settlement types.
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