I believe that the "official formula" is: the Thursday prior to the second Friday of the expiration month. (This is usually, but not always, the second Thursday of the month.) So, this Thursday it is! (March 11.)
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When do we switch to June contract?
- Thread starter BloodTrader
- Start date
I believe that the "official formula" is: the Thursday prior to the second Friday of the expiration month. (This is usually, but not always, the second Thursday of the month.) So, this Thursday it is! (March 11.)
Quote from saxon:
Last trade day for ES MAR is Thursday of next week, March 18. So Monday the 15th would probably be a good roll date. Majority of volume should be in JUN by then.
saxon
It's amazing how much misinformation is on ET. The formula for knowing exactly when to roll the S&Ps has been the same for years and years, is exceptionally simple, and was posted in the thread just preceding this one by Thunderdog.
I think this is funny, there seems to be no definite rollover-date for currency futures.
FX futures are no old-fashioned, big-player dominated game, that's the reason ?
Currently, liquidity is pretty split between Mar/Jun (38k / 13k)
Does anyone have a clue when most players switch FX futures ?
FX futures are no old-fashioned, big-player dominated game, that's the reason ?
Currently, liquidity is pretty split between Mar/Jun (38k / 13k)
Does anyone have a clue when most players switch FX futures ?
Quote from TriPack:
It's amazing how much misinformation is on ET. The formula for knowing exactly when to roll the S&Ps has been the same for years and years, is exceptionally simple, and was posted in the thread just preceding this one by Thunderdog.
What there is an abundance of around here is foot-in-mouth disease!
Here is the settlement info right off the CME website. Note, it is the 3rd Friday, not the 2nd.
The link is here: http://www.cme.com/clr/contract_listings_cl.html?product=ES
The settlement date is what it is. Of course, you can roll your contracts anytime there is a forward contract to roll into. So not everyone will choose the same day, necessarily.
saxon
Attachments
Quote from Thunderdog:
I believe that the "official formula" is: the Thursday prior to the second Friday of the expiration month. (This is usually, but not always, the second Thursday of the month.) So, this Thursday it is! (March 11.)
It's the FIRST TRADING DAY before the second friday of the expiration month.
(Won't be a Thursday, if Thursday is a holiday.)
Quote from saxon:
What there is an abundance of around here is foot-in-mouth disease!
Here is the settlement info right off the CME website. Note, it is the 3rd Friday, not the 2nd.
The link is here: http://www.cme.com/clr/contract_listings_cl.html?product=ES
The settlement date is what it is. Of course, you can roll your contracts anytime there is a forward contract to roll into. So not everyone will choose the same day, necessarily.
saxon
Note that the question being asked is not, "When does the March contract expire", but rather "when do we roll over". Of course you may roll over whenever you choose to do so. But if you wish to always be trading the most liquid contract month, then you will do so on the trading day preceding the 2nd Friday of the expiration month. At least this is the date when the volume and open interest has rolled to the next contract month for at least the last 10+ years in the S&Ps. If you wish to trade an illiquid contract, then by all means be my guest, but advising others to roll over on the 15th is simply misinformation.
"Note that the question being asked is not, "When does the March contract expire", but rather "when do we roll over". Of course you may roll over whenever you choose to do so. But if you wish to always be trading the most liquid contract month, then you will do so on the trading day preceding the 2nd Friday of the expiration month. At least this is the date when the volume and open interest has rolled to the next contract month for at least the last 10+ years in the S&Ps. If you wish to trade an illiquid contract, then by all means be my guest, but advising others to roll over on the 15th is simply misinformation."
I guess we dont have foot in the mouth
I guess we dont have foot in the mouth
ER, their switch date works out to the same as the Thursday before the 2nd Friday that everyone else is saying. Since Thursday is just one day before Friday, the 2nd Thursday before the 3rd Friday (triple witching) IS the Thursday before the the 2nd Friday!
Quote from ertrader1:
T dawg is correct.....BRIGHT TRADING? your guys switch two weeks before rollover....? LOL
Ehhh ok........lol