The IMM dates are the four quarterly dates of each year which most futures contract

Futures contract

In finance, a futures contract is a standardized contract between two parties to exchange a specified asset of standardized quantity and quality for a price agreed today with delivery occurring at a specified future date, the delivery date. The contracts are traded on a futures exchange...

s and option

Option (finance)

In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the...

 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), and IMM stands for the International Monetary Market

International Monetary Market

The International Monetary Market , a spin-off from the old Chicago Mercantile Exchange and largely the creation of Leo Melamed, is today one of three divisions of the Chicago Mercantile Exchange , the largest futures exchange in the United States and the second largest in the world after Eurex,...

.

This choice of date – middle of month and middle of week – minimizes issues with date rolling

Date rolling

In finance, date rolling occurs when a payment day or date used to calculate accrued interest falls on a holiday, according to a given business calendar. In this case the date is moved forward or backward in time such that it falls in a business day, according with the same business calendar.The...

, 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 swap

Credit default swap

A credit default swap is similar to a traditional insurance policy, in as much as it obliges the seller of the CDS to compensate the buyer in the event of loan default...

s, 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 21 September 2005 and 20 December 2005 would have a termination date of 20 December 2010.

Roll

Contracts are frequently rolled

Rolling (finance)

Rolling a contract is an investment concept meaning trading out of a standard contract and then buying the contract with next longest maturity, so as to maintain a position with constant maturity.-Motivation:...

on the IMM dates, making them among the highest volume trading days of the year.