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
Reminder: Futures contracts rollover tomorrow - Thursday - 12 June 2008.
Contract rollover tomorrow - Thursday - 11 September 2008. This is also the first time that ICE's version of the ER2 (the TF) will become the front month and take over from CME's ER2.
Contract rollover reminder - Thursday 11 December 2008.
Contract rollover on Thursday 12 March 2009
Contract rollover tomorrow (11 June 2009) - Thursday.
Contract rollover on Thursday 11 March 2010.
This is rollover week.
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