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Rollover to the "U" contract today?
- Thread starter high99
- Start date
ES contracts are cashed settled.
I have another question though. I use Ensign powered by e-Signal. If the June contract expires a week from tomorrow, why is my continuous contract data (ES #F in e-Signal) moving tick for tick with the September contract if the June has yet to expire? Is it because traders rolled over to this contract and it has more volume?
By the way, traders usually roll over to the next contract on the 2nd Thursday, and the contract expires at the end of trading on the 3 rd Friday. I never understood why this happens, but it does. In fact, I think when we rolled over to the June contract from the March contract, traders did not rollover to the June until the Monday of the expiration week, not the Thursday before.
I have another question though. I use Ensign powered by e-Signal. If the June contract expires a week from tomorrow, why is my continuous contract data (ES #F in e-Signal) moving tick for tick with the September contract if the June has yet to expire? Is it because traders rolled over to this contract and it has more volume?
By the way, traders usually roll over to the next contract on the 2nd Thursday, and the contract expires at the end of trading on the 3 rd Friday. I never understood why this happens, but it does. In fact, I think when we rolled over to the June contract from the March contract, traders did not rollover to the June until the Monday of the expiration week, not the Thursday before.
Sarasota:Quote from Sarasota:
ES contracts are cashed settled.
I have another question though. I use Ensign powered by e-Signal. If the June contract expires a week from tomorrow, why is my continuous contract data (ES #F in e-Signal) moving tick for tick with the September contract if the June has yet to expire? Is it because traders rolled over to this contract and it has more volume?
By the way, traders usually roll over to the next contract on the 2nd Thursday, and the contract expires at the end of trading on the 3 rd Friday. I never understood why this happens, but it does. In fact, I think when we rolled over to the June contract from the March contract, traders did not rollover to the June until the Monday of the expiration week, not the Thursday before.
Check out this site for more on Continuous Contracts:
http://www.norgate.net/continuous.htm
Kermit
Quote from Sarasota:
In fact, I think when we rolled over to the June contract from the March contract, traders did not rollover to the June until the Monday of the expiration week, not the Thursday before.
I didn't see the answer in the link Kermit gave.. was it that esignal rolled based on open interest? and not volume? thanks..
CaroKann,
I think there are 2 questions in here. One is Sarasotaâs quote regarding traders not rolling over to the June until the Monday of the expiration week and not the Thursday before. Then there is the other question of eSignal rolling over to capture the September contract prices for its continuous ES even though June has yet to expire.
Regarding the first, although traders can start rolling over to the lead contract month (Sept. for S&P now) the 2nd Thursday of the expiration month (today), some may choose not to perform the roll over this very day and still trade the June contract up until June 19th, after which the contract ceases to exist. Would you want to do that? Probably not because starting today, the September contract is where the volume/liquidity is as the June contract tapers off dramatically.
As for the second, thatâ just the way eSignal chose to implement it for the Stock Indexes where they force rollover 8 days before the 3rd Friday of the expiration month. See the following:
http://www.esignalcentral.com/support/faq/esignal/futures/futures_rollover.asp
Kermit
I think there are 2 questions in here. One is Sarasotaâs quote regarding traders not rolling over to the June until the Monday of the expiration week and not the Thursday before. Then there is the other question of eSignal rolling over to capture the September contract prices for its continuous ES even though June has yet to expire.
Regarding the first, although traders can start rolling over to the lead contract month (Sept. for S&P now) the 2nd Thursday of the expiration month (today), some may choose not to perform the roll over this very day and still trade the June contract up until June 19th, after which the contract ceases to exist. Would you want to do that? Probably not because starting today, the September contract is where the volume/liquidity is as the June contract tapers off dramatically.
As for the second, thatâ just the way eSignal chose to implement it for the Stock Indexes where they force rollover 8 days before the 3rd Friday of the expiration month. See the following:
http://www.esignalcentral.com/support/faq/esignal/futures/futures_rollover.asp
Kermit