First notice day (FND)

First notice day is the first day on which the holder of a short position in a physically delivered futures contract can give notice of intent to deliver. After it, a long position can be assigned delivery, which is why brokers usually require retail longs to close or roll before it and why liquidity migrates to the next contract earlier than the last trading day.

Senzoukria · Glossary · Updated September 2026

Definition

The CFTC glossary defines first notice day as the first day on which notices of intent to deliver actual commodities against futures market positions can be received. It only exists for contracts settled by delivery. Cash-settled contracts such as ES and NQ have no notice day; they end at their last trading day with a cash final settlement.

Why it arrives before the last trading day

For many delivered contracts, the delivery period starts while the contract is still trading. Treasury and metal futures, for example, keep trading into their delivery month, but from first notice day onward a long position may be matched with a short who wants to deliver. Most speculative traders do not want that obligation, so they leave before FND and the volume moves to the next contract then, not at the last trading day.

Worked example with the application's calendar

For Treasury futures, Senzoukria's calendar takes the last business day of the month before delivery as the effective end of the contract. For a September contract that is the last weekday of August. For COMEX metals it rolls two business days earlier still: the August 2026 gold contract has July 2026 as its preceding month, whose last weekday is Friday 31 July; two business days before that is Wednesday 29 July 2026, the date after which the calendar no longer offers GCQ6 as the default contract.

In Senzoukria

The contract catalogue gives each root an expiry rule. For Treasuries (ZB, UB, TN, ZN, ZF, ZT) the rule is the first notice date, deliberately earlier than the official last trading day. For metals (GC, MGC, SI, SIL, HG, MHG, PL, PA) it is two business days before that date. The documentation states the reason: once a metal contract is deliverable, liquidity collapses, and offering such a contract by default would be a trap. Exchange holidays are not modelled, so a computed date can be a day off around a holiday.

Common mistakes

  • Watching the last trading day and forgetting that first notice day comes first.
  • Applying the notion to cash-settled index futures.
  • Assuming a broker will let a retail long position run into the delivery period.

In the same section

Sources

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Frequently asked questions

Do ES and NQ have a first notice day?
No. They are cash-settled, so there is no delivery notice. Their roll is driven by the last trading day, the third Friday of the contract month, and by where volume moves in the week before.
What happens if I hold a long past first notice day?
Your broker's rules decide first: many require delivered positions to be closed before that date and may liquidate them. Otherwise the long can be assigned a delivery notice, with the obligation to take and pay for the underlying.

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