Should there be an /ES gap on my chart

B

benjjj6

Hi

I'm just learning about futures and assume the lead contract changed over on the 1st September since the previous contract was 09-13 and now we are on 12-13.

On the attached ES 12-13 chart you can see a gap up, is my chart wrong or should this be there? If so, why has the change in contract caused a gap?

Thanks,
Ben
 

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Quote from benjjj6:

Hi

I'm just learning about futures and assume the lead contract changed over on the 1st September since the previous contract was 09-13 and now we are on 12-13.

On the attached ES 12-13 chart you can see a gap up, is my chart wrong or should this be there? If so, why has the change in contract caused a gap?

Thanks,
Ben
More...

ES contracts change on the third week of the month, every quarter. So the ES will shift to the December contract the third week of September.

The gap is related to the labor day holiday.
 
Quote from benjjj6:

Hi

I'm just learning about futures and assume the lead contract changed over on the 1st September since the previous contract was 09-13 and now we are on 12-13.

On the attached ES 12-13 chart you can see a gap up, is my chart wrong or should this be there? If so, why has the change in contract caused a gap?

Thanks,
Ben
More...

The gap up is not from ES contract rollover.

With current interest and dividend rates the roll from SEP ES to DEC ES is negative by about 8.00 points.

Read about index futures fair value and premium/discount at indexArb http://indexarb.com/
 
You'll also get gaps over the weekend sometimes.

When we get close to the roll over date, just compare the volume of the September contract to the December contract. I trade which ever one has the most volume.
 
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