New leading indicator on index rolls...

[Overnight]

As of today (and tonight), the micros seem to be indicating faster when volume has rolled from one contract to the next.

We all know the LTD on the CME index futures is currently the third Friday of the contract month. But in the minis, the contract has not rolled in volume like it used to.

Before the micros, and pretty much up until this roll, the regular crowd would roll the minis today.

But as of an hour ago, we have...

Month/contract/volume

Jun ES 42K
Sep ES 34K

Jun NQ 12K
Sep NQ 4K

Jun YM 9K
Sep YM 3K

Seems odd.

---------
But on micro side?

Jun MES 20K
Sep MES 29K

Jun MNQ 11K
Sep MNQ 16K

Jun MYM 4K
Sep MYM 6K

Micros now lead the minis. Fascinating.

 

[tiddlywinks]

As of today (and tonight), the micros seem to be indicating faster when volume has rolled from one contract to the next.

We all know the LTD on the CME index futures is currently the third Friday of the contract month. But in the minis, the contract has not rolled in volume like it used to.

Before the micros, and pretty much up until this roll, the regular crowd would roll the minis today.

But as of an hour ago, we have...

Month/contract/volume

Jun ES 42K
Sep ES 34K

Jun NQ 12K
Sep NQ 4K

Jun YM 9K
Sep YM 3K

Seems odd.

---------
But on micro side?

Jun MES 20K
Sep MES 29K

Jun MNQ 11K
Sep MNQ 16K

Jun MYM 4K
Sep MYM 6K

Micros now lead the minis. Fascinating.

It's an interesting "find", BUT...

1) Regarding the roll, you need to look at OI. THAT is what the rollover is about. Without looking at OI, all you see is daytrader volume. And volatility begets volume, sooooo.
2) Retail comprises a lot of micro business, not all though. Retail is much more likely to begin trading the next contract, particularly swing traders. Given the volatility Im sure there are also some hedged, still open, mini positions too.

 

[LanceJ]

So the June contracts are trading very close to the spot price, but the Sept contracts are trading at a discount to the June. I'm noticing a lot of open interest in the front month that has only a few days to expiration and not much pouring into Sept & Dec.
Do all those June contracts have to be rolled to the Sept contracts at the last minute?
Will the Sept & Dec contracts open interest remain low as the front month contracts are closed?
Does rolling of contracts even affect price levels?
I track Open Interest in YM and ES. Mar,Jun,Sept,Dec. I get the data daily from the CME