Contract Rollover
When does volume switch from one contract to another? The chart below shows the volume for the March and June 2005 contracts for the E-mini S&P500 between 09:00 and 10:00 EST. The volume for the old contract (March) dominates in the first 15 minutes and then again just before the open at 09:30 EST. Otherwise you can see that the volume in the new contract (June) have taken over. (The chart shows the 5 minute average volume for each minute. e.g. The volume on the 09:17 bar shows the average volume per minute from 09:15 to 09:19 inclusive.)
More information about rollover day can be found on this page: Rollover Days
Click image for original size
More information about rollover day can be found on this page: Rollover Days
Don't forget to change to change your symbols on BOTH your trading platform AND your charting platform.
Rollover is this coming Thursday on 8 March 2007 if I've done my calculations correctly.
Thanks for letting us know.
You're very welcome. The 5th page of that article has a cool chart that shows how the volume shifts from the one contract to the other on rollover day (i.e. tomorrow).
Thanks for the reminder email!
You're very welcome - it's an easy thing to forget.
Reminder: Futures roll this coming Thursday - 13 December 2007.
Reminder: Futures contracts will rollover tomorrow - Thursday - 13 March 2008
For the equity index futures that trade on the CME/CBOT the futures contracts roll on the quarter month (i.e. March, June, September, December) 8 calendar days before expiry. Expiration is on the third (3rd) Friday of the month. This means that rollover will always be on a Thursday.
For the equity index futures that trade on the CME/CBOT the futures contracts roll on the quarter month (i.e. March, June, September, December) 8 calendar days before expiry. Expiration is on the third (3rd) Friday of the month. This means that rollover will always be on a Thursday.
This is rollover week.
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