The colours and letters of futures maturities

Julian D. A. Wiseman

Publication history: only here. Usual disclaimer and copyright terms apply.

Most futures contracts are listed for many different delivery months. These include oil, gold, and particularly the contracts settling against three-month interbank money. The naming conventions for these contracts are somewhat odd.

Each delivery month has a 1-letter abbreviation. These are:

Apparently these codes originated with Reuters; readers with evidence to this effect are asked to contact the author.

Contracts also have a colour (or even a color!). The March contract nearest delivery is called just “March”. But the following March contract is called “Red March”, the following “Green March”, and so. The official colours go as follows:

In PostScript, these have been rendered as:

/MonthNames [ (Dec) (Jan) (Feb) (Mar) (Apr) (May) (Jun) (Jul) (Aug) (Sep) (Oct) (Nov) (Dec) ] def
/MonthCodesIMM [ (Z) (F) (G) (H) (J) (K) (M) (N) (Q) (U) (V) (X) (Z) ] def
/YearColorsIMM    % or YearColoursIMM, according to your taste
[
	{1              setgray}      % White
	{1    0    0    setrgbcolor}  % Red
	{0    1    0    setrgbcolor}  % Green
	{0    0    1    setrgbcolor}  % Blue
	{1    1    0    setrgbcolor}  % Gold
	{0.75 0    0.75 setrgbcolor}  % Purple
	{1    0.5  0    setrgbcolor}  % Orange
	{1    0.75 0.75 setrgbcolor}  % Pink
	{15 16 div      setgray}      % Silver
	{0.5  0.5  0    setrgbcolor}  % Copper
] def

though this should not be regarded as definitive.

Julian D. A. Wiseman, December 2001