Crude rollover


  • 1
  • rmac2001
  • 14-Jun-2010 at 8:47 AM
  • Rep: 80
  • Posts: 7
Why is CL crude oil being rolled over every 3 months in the mypivots data when it actuslly rolls over monthly. I trade it on a rollover basis and can only use the high low data during every 3rd month .
What is the current month for crude (CL)? On the Daily Notes page I see 2 contracts at the moment, the July and September contracts. If July is the current contract then we're good. If not then let me know...

NYMEX Light Sweet Crude Oil July 2010

NYMEX Light Sweet Crude Oil September 2010
  • 0
  • rmac2001
  • 15-Jun-2010 at 8:04 AM
  • Rep: 80
  • Posts: 7
thanks - yes july is current
  • 0
  • dom993
  • 15-Jun-2010 at 8:34 AM
  • Rep: 3,560
  • Posts: 310
What can be confusing in the MyPivots page is that the CL July contract is presented as expiring in July, when really for Crude Oil the last trading day is always 1 month earlier than the delivery date, which is the date used in labeling the contract.

So in the case of CL July 2010, last trading date is June-22.

Next contract CL August 2010, last trading date is July-20.
Adding to what dom993 wrote, most crude volume will have rolled from the July to the August contract by Thursday of this week. Already this morning, the Q contract has traded 28k compared to 47k for the N contract so August volume is already building.
  • 0
  • rmac2001
  • 15-Jun-2010 at 9:39 AM
  • Rep: 80
  • Posts: 7
dom - then why are we trading it now - lol
  • 1
  • dom993
  • 15-Jun-2010 at 10:26 AM
  • Rep: 3,560
  • Posts: 310
I personally trade the front-month contract until 2 days before last-trading day. So for the current contract, I will trade it until Friday's close, and move on to the August contract on Sunday's open.

BUT as mentioned by prestwickdrive I have noticed in the past that volume starts shifting a couple days before I do switchover, and in that couple of days everything in my trading toolbox is a little less reliable (be it on the "old" contract or on the "new" one)
Originally posted by dom993

What can be confusing in the MyPivots page is that the CL July contract is presented as expiring in July, when really for Crude Oil the last trading day is always 1 month earlier than the delivery date, which is the date used in labeling the contract.

So in the case of CL July 2010, last trading date is June-22.

Next contract CL August 2010, last trading date is July-20.


Here's the next contract:
NYMEX Light Sweet Crude Oil August 2010

Even though the last trading day is a month before is the contract still correctly named?

I can't work out from what you're saying if you think that they are correctly or incorrectly named on this site?

Is it one of those contracts that stops trading on the 20th of the month that precedes the delivery month?
  • 1
  • dom993
  • 15-Jun-2010 at 12:25 PM
  • Rep: 3,560
  • Posts: 310
Originally posted by day trading

Originally posted by dom993

What can be confusing in the MyPivots page is that the CL July contract is presented as expiring in July, when really for Crude Oil the last trading day is always 1 month earlier than the delivery date, which is the date used in labeling the contract.

So in the case of CL July 2010, last trading date is June-22.

Next contract CL August 2010, last trading date is July-20.


Here's the next contract:
NYMEX Light Sweet Crude Oil August 2010

Even though the last trading day is a month before is the contract still correctly named?

I can't work out from what you're saying if you think that they are correctly or incorrectly named on this site?

Is it one of those contracts that stops trading on the 20th of the month that precedes the delivery month?


DT:

- The contract is correctly named on the MyPivots site. The confusion is courtesy of NYMEX

- Because it stops trading 1 month early (vs its name), I think in the MyPivots page the July contract should show expiring in June, etc.

- Yes, it is one of those contracts (although the formal rule for last trading day is as follow : "Third business day prior to the 25th calendar day of the month preceding the delivery month. If the 25th calendar day of the month is a non-business day, trading shall cease on the third business day prior to the business day preceding the 25th calendar day")
Originally posted by dom993

...the month preceding the delivery month...


Well I could rename each section "delivery month" instead of "expiration month" but that would cause the contract to remain in the same category. Because I'm grouping them by the letter designation I'm going to leave them as they are but I'll keep an open mind to another grouping method...

Thanks for the clarification.
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