I've got a silly question that I'm a bit embarrassed to ask, BUT, I usually rollover my charts as I am a daytrader on the Friday after the official date (ES for example) when the front month volume surpasses the last and notice that the combined volume is far greater than the average daily volume for that contract. Is the additional volume attributed to entities closing the expiring contract and rolling forward to maintain their longer term positions?
Rollover Volume
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CannonTrading_Ilan
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From my colleague John Thorpe:
Good observation and question, I can only say that each rollover is different. what the market does prior to the rollover by days weeks or months will be different than the prior rollover. What I can say, specifically to answer your question, go to the COT report today, then next Friday to see if you see a shift in institutions holdings or not of their either long or short positions. Commitments of Traders | CFTC
Good observation and question, I can only say that each rollover is different. what the market does prior to the rollover by days weeks or months will be different than the prior rollover. What I can say, specifically to answer your question, go to the COT report today, then next Friday to see if you see a shift in institutions holdings or not of their either long or short positions. Commitments of Traders | CFTC
its not a silly question. The ROLL for most purposes starts on set dates typically found on the exchange website aka cme indexes. But for charting I would look at open interest and volume.
waiting for a cot report in this modern day data time is silly. things change. The Roll is a particularly interesting study that is worthwhile.
Depending on your size the roll is important obviously due to backwardation and contango.
waiting for a cot report in this modern day data time is silly. things change. The Roll is a particularly interesting study that is worthwhile.
Depending on your size the roll is important obviously due to backwardation and contango.