IMM dates are the four quarterly settlement dates that anchor most global derivatives markets: the third Wednesday of March, June, September, and December. The name comes from the International Monetary Market, the Chicago Mercantile Exchange division that introduced the convention, and the same four dates now govern interest rate futures, currency futures, and a large share of over-the-counter interest rate swaps. In 2026, they fall on March 18, June 17, September 16, and December 16.1CME Group. Expiration Calendar
How to Find an IMM Date
The rule is mechanical. Look at March, June, September, or December, count the Wednesdays, and stop at the third one. If the month begins on a Wednesday, that day is the first Wednesday and you count forward two more weeks. The logic is identical across exchanges and products, which is the whole point: a SOFR futures contract in Chicago and an interest rate swap booked in London reference the same calendar.
Some products also list serial-month contracts that expire in January, February, April, and the other non-quarterly months. Serial months still use the third-Wednesday rule; they fill gaps between the main quarterly expirations for traders who want finer hedging granularity. Liquidity still concentrates on the four quarterly dates.
IMM Dates in 2026
- March 18, 2026 (Wednesday)
- June 17, 2026 (Wednesday)
- September 16, 2026 (Wednesday)
- December 16, 2026 (Wednesday)
These are published on CME Group’s expiration calendar and apply across exchange-traded derivatives tied to the IMM schedule.1CME Group. Expiration Calendar Marking them at the start of the year is the simplest way to avoid a last-minute scramble around roll and settlement deadlines.
Which Contracts Settle on IMM Dates
The best-known IMM-dated product is CME Group’s Three-Month SOFR futures, which reflect expectations for the Secured Overnight Financing Rate between consecutive IMM dates. The listing schedule runs 39 quarterly contracts, roughly ten years forward.2CME Group. Three-Month SOFR Futures
Foreign exchange futures for major pairs, including the euro, Japanese yen, and British pound, also expire on IMM dates. Standard CME FX futures require physical delivery of the underlying currency, not cash settlement. If you hold a euro futures contract through expiration without rolling it, you are obligated to deliver or receive actual euros. Equity index futures and options follow the same quarterly cycle, which is what produces triple witching.
OTC Swaps and ISDA
The over-the-counter market borrows the IMM calendar heavily. Interest rate swaps routinely use IMM dates as effective dates and payment dates, and the International Swaps and Derivatives Association defines “IMM Settlement Dates” in its Interest Rate Derivatives Definitions as the third Wednesday of the relevant month, matching the exchange convention.3International Swaps and Derivatives Association. Market Practice Note: Effective Dates for OTC Derivative Contracts Determined by Reference to IMM Dates Aligning private swap schedules with public futures expirations lets institutional hedgers offset exchange-traded and OTC positions cleanly. Current market practice is to spell out the actual calendar date in each swap confirmation rather than relying on the defined term, which removes ambiguity if the date later needs adjustment.
The IMM Roll
As an IMM date approaches, anyone who wants to keep their exposure has to close the expiring front-month contract and open a position in the next quarterly contract. This is the roll, and it generates a predictable surge in volume. For Treasury futures, most open interest rolls during the last ten business days before the contract month begins.4CME Group. Pace of the Roll User Guide The exact window varies across products, but the pattern is similar.
Institutional desks generally roll using a calendar spread, which bundles the sale of the expiring contract and the purchase of the deferred contract into a single transaction. That eliminates the risk of being half-rolled if the market moves between two separate trades. The price gap between the two contract months, sometimes called the roll cost or carry, reflects interest rates, storage costs, or expected changes in the reference rate over the interval.4CME Group. Pace of the Roll User Guide
The concentration of rolling activity is what gives the newer contract enough liquidity to take over as the primary trading vehicle. If you trade around IMM dates without tracking that migration, you can find yourself in the wrong contract at the wrong time.
Triple Witching
Four times a year, on the third Friday of March, June, September, and December, stock index futures, stock index options, and single-stock options all expire on the same day. That Friday falls in the same week as the IMM date, which is the Wednesday two days earlier. The combined activity is called triple witching, and the volume can be enormous: an estimated $7.1 trillion in equity options expired during the December 2025 triple witching session.
The overlap is by design. Equity index futures were built on the quarterly IMM cycle, and equity options followed the same March-June-September-December rhythm. Currency futures rolling on Wednesday, interest rate futures settling the same week, and equity derivatives expiring on Friday together produce a concentration of activity that professional desks plan for months in advance. Much of the movement is mechanical rebalancing rather than a directional signal.
When the Third Wednesday Is a Holiday
For exchange-traded futures, each exchange’s own holiday calendar controls what happens if the third Wednesday is a non-trading day. Expiration typically shifts to the prior business day, and the specific rule is published by the exchange for each product.
OTC swaps handle this differently. Under ISDA market practice, if the IMM date that serves as a swap’s effective date is not a business day in the relevant financial center, parties typically set the effective date to the next following business day.5International Swaps and Derivatives Association. Market Practice Note: IMM Dates The ISDA Definitions do not adjust the effective date automatically unless the confirmation specifies a business day convention. If the parties fail to address it, the non-business-day date stands as written. Most desks avoid the issue by writing the adjusted calendar date directly into the confirmation.3International Swaps and Derivatives Association. Market Practice Note: Effective Dates for OTC Derivative Contracts Determined by Reference to IMM Dates
Tax Treatment for IMM-Dated Futures
Most IMM-dated futures qualify as Section 1256 contracts under the Internal Revenue Code, which changes the tax picture in two ways worth understanding before you trade them.
First, mark-to-market. Every Section 1256 contract you hold at the end of the tax year is treated as sold at fair market value on the last business day of that year, whether or not you actually closed it. The resulting gain or loss is recognized for that year, and the fair market value becomes your new basis going forward.6Office of the Law Revision Counsel. 26 USC 1256 – Section 1256 Contracts Marked to Market You cannot defer gains on open positions by holding them past December 31.
Second, the 60/40 rule. All gains and losses on Section 1256 contracts are split into 60% long-term and 40% short-term capital gains regardless of how long you held the position. A trade opened and closed in the same week still receives the blended rate.6Office of the Law Revision Counsel. 26 USC 1256 – Section 1256 Contracts Marked to Market Because the long-term rate is lower than the short-term rate for most taxpayers, the split favors futures over stocks on comparable time frames.
Section 1256 covers regulated futures contracts, foreign currency contracts, nonequity options, dealer equity options, and dealer securities futures contracts. It specifically excludes interest rate swaps, currency swaps, credit default swaps, and similar OTC agreements.6Office of the Law Revision Counsel. 26 USC 1256 – Section 1256 Contracts Marked to Market IMM-dated OTC derivatives do not get 60/40 treatment and are taxed under other rules. Section 1256 gains and losses are reported on IRS Form 6781.7Internal Revenue Service. Gains and Losses From Section 1256 Contracts and Straddles (Form 6781) The wash sale rules do not apply to Section 1256 contracts, which can matter if you are harvesting losses near year-end.