Rollover Day...

B

bullnbear

Just wondering what you chaps do on contract rollover day seeing as volume is split between old and new contracts.

Do you trade anyway? If so when do you switch to the new contract? Do you leave the actual rollover and continue the next day or do you take a few days off?

Would be interested to hear! Thanks :)
 
bullnbear said:
Just wondering what you chaps do on contract rollover day seeing as volume is split between old and new contracts.

Do you trade anyway? If so when do you switch to the new contract? Do you leave the actual rollover and continue the next day or do you take a few days off?

Would be interested to hear! Thanks :)
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In the ES unless you're trading big size, there is still sufficient volume in the expiring contract for a few-to-several days. No reason to be in a rush to roll over. No reason not to either.
 
Scataphagos said:
In the ES unless you're trading big size, there is still sufficient volume in the expiring contract for a few-to-several days. No reason to be in a rush to roll over. No reason not to either.
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When I was a newbie, I adhered to the official rollover calendar, which meant, rollover happens on the 2nd Thursday of the expiring month, period. On the Wednesday evening prior, I'd re-organize and refactor whatever was necessary to begin Thursday with all the fresh and mostly very spotty charts. I used to get fucking creamed on rollover Thursday!

Nowadays, I know that rollover Thursday, happens at/by end of day Thursday, not at the outset of the day. And trading platforms accommodate rollovers much easier, dare I say seamlessly (depending on platform of course). On rollover day, I trade the current contract. On Friday, assuming a noticeable increase in volume (40% or more, in context to the existing front month) on the new contract, I begin trading that. In all cases, I begin trading the new contract no later than the Monday following rollover Thursday. From time to time, a broker or FCM will issue an advisory(not to be confused with a reminder) about rollover. I honor those advisories.

As a day trader, I want to be where the volume is. When it is clear volume is properly migrating, then I want to be where volume will be continuing to increase for the remainder of the rollover period.
 
tiddlywinks said:
As a day trader, I want to be where the volume is. When it is clear volume is properly migrating, then I want to be where volume will be continuing to increase for the remainder of the rollover period.
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This is exactly what I advise my customers who are day traders. Very good input. The Financial may not have as many surprises on expirations as the physicals have. Oil, gold, grains, etc. As you soon you see a shift in Vol, change contracts.
 
Yep, go where the biggest volume is. So usually the last 2 days that will be the new contract. The rollover price itself, the spread between them, can change quite a bit in the last week though.
 
Yes, I would agree in terms of day trading (and even short term swing trading) rollover has so many variables in terms of order flows that even the best trading systems can be steamrolled. Again, in terms of day trading, scalping, etc. IMHO stay with the second month as soon as its' volume meets or exceeds the front month.
 
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