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.)

Click image for original size
March to June 2005 volume change on contract rollover day.


More information about rollover day can be found on this page: Rollover Days
Contract rollover tomorrow 9th September 2010.
Contract rollover is 9 December 2010
Contract rollover is 10 March 2011
  • 0
  • getrich
  • 17-Mar-2011 at 8:36 AM
  • Rep: 0
  • Posts: 1
hello guys.Does anybody know more about special open quotation of DJIA on futures.I meant how can i know the SOQ for DJIA for today for example?Is there any website how show this qoute?Thank you and i w8 for an answer.
Contract rollover is 9 June 2011.
  • 1
  • TradeQueen
  • 13-Jun-2011 at 11:17 AM
  • Rep: 879
  • Posts: 204
Just got back after a week and everything changed!. Got a heads up about rollover... read it... 8 days before expiration..., but it's always nice (for me) to see a post confirming what I've read.
Thanks for posting this DT.



Originally posted by day trading

Contract rollover is 9 June 2011.
I was listening to the radio one day and was told to switch over to the new contract when the old one has about 50% or less of the previous liquidity. Once the new contracts is tradable, I was told that the old loses about 10% of its liquidity daily... interesting. How true is this though?
For the ES, rollover is 8 days before expiration. At 9:30am volume switches from the older to the new contract. Here's a chart showing how volume switches between the two contracts:

Contract rollover is Thursday 8 September 2011
This is rollover week.
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