science

IMM dates

IMM dates is a science topic covered in the lgStudy science library. This page brings together a partial reference excerpt, illustrations, worked examples, real-world applications and a short study plan, so you can understand IMM dates rather than just read about it. In short: The IMM dates are the four quarterly dates of each year which certain money market and Foreign Exchange futures contracts and option contracts use as their scheduled maturity date or termination date. The dates are the third Wednesday of March, June, September and December (i.e., between the 15th and 21st, whichever such day is a Wednesday).

Key takeaways

IMM dates belongs to science; place it in that map before memorising details.
Learn the definition first, then one example that makes the definition concrete.
Connect IMM dates to a quantity you can measure, compute or draw — that is where exam questions come from.
Reproduce the core statement of IMM dates from memory before moving on to harder problems.

Reference excerpt

The IMM dates are the four quarterly dates of each year which certain money market and Foreign Exchange futures contracts and option contracts use as their scheduled maturity date or termination date. The dates are the third Wednesday of March, June, September and December (i.e., between the 15th and 21st, whichever such day is a Wednesday). These contracts stop trading the Monday preceding the third Wednesday of a March quarterly cycle. see CME Tutorial IMM stands for the International Monetary Market. This choice of date – middle of month and middle of week – minimizes issues with date rolling, as holidays are very unlikely to make the closest business day in another week or other month. The term is also used for the conventional quarterly termination dates of credit default swaps, which fall on 20 March, 20 June, 20 September and 20 December – note that these may fall on a weekend. These are not precisely the IMM dates, but they fall close to them and thus are also referred to as "IMM dates", by abuse of language.

CDS standardization From late 2002, the CDS market began to standardize credit default swap contracts so that they would all mature on one of the four days of 20 March, 20 June, 20 September and 20 December. These dates are used both as termination dates for the contracts and as the dates for quarterly premium payments. So, for example, a ‘five-year’ contract traded any time between 20 September 2005 and 19 December 2005 would have a termination date of 20 December 2010. In December 2015, the roll has been reduced to Semi Annual, i.e., only on September and March.

Roll

Contracts are frequently rolled on the IMM dates, making them among the highest volume trading days of the year.

References

Worked examples

Example 1 — a first encounter with IMM dates

Start with the simplest possible case. Write down what IMM dates claims or describes in one sentence, then invent the smallest concrete situation in which that sentence is true. In science, the smallest case is usually a single object, a single equation or a single measurement. Check that every symbol or term in your sentence has a meaning in that case.

Example 2 — changing one variable

Take the situation from Example 1 and change exactly one quantity: double it, halve it, or set it to zero. Predict what should happen to IMM dates before you calculate. Comparing your prediction with the result is the fastest way to find out whether you understand the idea or only the words.

Example 3 — an exam-style question

Typical questions about IMM dates ask you to (a) state it precisely, (b) apply it to given data, and (c) explain a limitation. Practise writing all three answers in under five minutes; the third part is what separates a full-mark answer from an average one.

Applications of IMM dates

In research: IMM dates appears in science research whenever the underlying quantities have to be modelled precisely. Papers usually cite it as a starting assumption and then explore where it breaks down.
In technology and industry: Engineering practice reuses IMM dates in design rules, simulations and safety margins. Knowing the idea lets you read a specification sheet and understand why the numbers look the way they do.
In the classroom: IMM dates is common in secondary-school and first-year university syllabi. It links to neighbouring topics Derivatives (finance), Finance stubs, Foreign exchange market, so understanding it makes those chapters shorter.
In everyday life: Look for IMM dates outside the textbook — in sport, cooking, traffic, electronics or the sky above you. An example you found yourself is remembered far longer than one you were given.

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How to study IMM dates in 20 minutes

Read the reference excerpt below once, without taking notes.
Close the page and write down what IMM dates means in your own words.
Compare your version with the excerpt and mark what you missed.
Work through the three examples above with pen and paper.
Explain IMM dates out loud to somebody else — or to Teacher Smith in the lgStudy chat.

Frequently asked questions

What is IMM dates in simple terms?

Why does IMM dates matter?

Because it connects several science ideas at once: it gives you a definition you can apply, a quantity you can calculate, and a way to check whether a result is plausible.

How should I study IMM dates?

Read the excerpt, restate it from memory, then work through the examples and applications listed on this page. The five-step study plan above takes about twenty minutes.

What does this page cover?

It gives you a compact reference excerpt plus original lgStudy explanations, examples, applications and study material on IMM dates.