When do we switch to June contract?
- Thread starter BloodTrader
- Start date
Saxon, sometimes you just need to admit that you're wrong and move on. Getting the facts straight on details that affect your livelihood is not being a weenie.
As has been stated by at least four people above, the roll date is the trading day preceding the second Friday of the expiration month, which in practice is always a Thursday since there are no market holidays that fall on the first or second Thursday of Mar/Jun/Sep/Dec. (This is not to be confused with the last trade date which is the third Friday.)
Here are the active dates for equity E-mini contracts (ES/NQ/ER) for the 2003 and 2004 contracts:
ESH3 12/12/2002 - 3/12/2003
ESM3 3/13/2003 - 6/11/2003
ESU3 6/12/2003 - 9/10/2003
ESZ3 9/11/2003 - 12/10/2003
ES4H 12/11/2003 - 3/10/2004
ES4M 3/11/2004 - 6/9/2004
ES4U 6/10/2004 - 9/8/2004
ES4Z 9/9/2004 - 12/8/2004
Here's an illustration of how much the liquidity changes at rollover, looking back one year at the ESH3/ESM3 rollover. This is the volume in the ESH3 contract between 9:30:00 and 9:34:59 for each day.
Mon 3/10/2003 10594
Tue 3/11/2003 12489
Wed 3/12/2003 17125
Thu 3/13/2003 5199
Fri 3/14/2003 1670
Mon 3/17/2003 810
(So Saxon is technically correct in that there will still be liquidity in ESH4 on Mon 3/15/2004, but it will most likely be about an order of magnitude less than the liquidity in the new front month.)
As has been stated by at least four people above, the roll date is the trading day preceding the second Friday of the expiration month, which in practice is always a Thursday since there are no market holidays that fall on the first or second Thursday of Mar/Jun/Sep/Dec. (This is not to be confused with the last trade date which is the third Friday.)
Here are the active dates for equity E-mini contracts (ES/NQ/ER) for the 2003 and 2004 contracts:
ESH3 12/12/2002 - 3/12/2003
ESM3 3/13/2003 - 6/11/2003
ESU3 6/12/2003 - 9/10/2003
ESZ3 9/11/2003 - 12/10/2003
ES4H 12/11/2003 - 3/10/2004
ES4M 3/11/2004 - 6/9/2004
ES4U 6/10/2004 - 9/8/2004
ES4Z 9/9/2004 - 12/8/2004
Here's an illustration of how much the liquidity changes at rollover, looking back one year at the ESH3/ESM3 rollover. This is the volume in the ESH3 contract between 9:30:00 and 9:34:59 for each day.
Mon 3/10/2003 10594
Tue 3/11/2003 12489
Wed 3/12/2003 17125
Thu 3/13/2003 5199
Fri 3/14/2003 1670
Mon 3/17/2003 810
(So Saxon is technically correct in that there will still be liquidity in ESH4 on Mon 3/15/2004, but it will most likely be about an order of magnitude less than the liquidity in the new front month.)
Bottom line:
Unless you are rolling a HUGE position (like 1000 contracts or more), the Monday before expiration is just as good a day to roll as the preceding Thursday. It really makes no difference at all.
I am guessing that the original poster does not carry 1000-lot position trades in the ES; so for his purposes, there would be absolutely nothing wrong with rolling on Monday the 15th. If, however, the original poster is a daytrader, then you guys have a point that you want to follow the volume, whenever and wherever it goes. I myself am a swing/position trader, so either day works for me.
OK...??
saxon
Unless you are rolling a HUGE position (like 1000 contracts or more), the Monday before expiration is just as good a day to roll as the preceding Thursday. It really makes no difference at all.
I am guessing that the original poster does not carry 1000-lot position trades in the ES; so for his purposes, there would be absolutely nothing wrong with rolling on Monday the 15th. If, however, the original poster is a daytrader, then you guys have a point that you want to follow the volume, whenever and wherever it goes. I myself am a swing/position trader, so either day works for me.
OK...??
saxon
Saxon,
For my own trading style on the eminis, which is not high volume but fairly high frequency (generally a few dozen round trips per day) it's pretty important that I trade the most active contract. That's why I'm being so pedantic - I had to get these details straight when I was doing my backtesting.
You may be correct about the impact (or lack thereof) on other trading styles; I won't argue it, as I haven't done the analysis.
Très bien!
For my own trading style on the eminis, which is not high volume but fairly high frequency (generally a few dozen round trips per day) it's pretty important that I trade the most active contract. That's why I'm being so pedantic - I had to get these details straight when I was doing my backtesting.
You may be correct about the impact (or lack thereof) on other trading styles; I won't argue it, as I haven't done the analysis.
Très bien!
i'm switching today
Code:
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
MAR04 1120.25 1126.50 1104.50 1105.25B 1105.50 -1475 306K 1120.25 930475 595948
JUN04 1119.50 1125.25 1103.25 1104.50 1104.25 -1500 1036K 1119.25 62494 169436
TOTAL EST.VOL VOL OPEN INT.
TOTAL 1342977 992969 765384Note how the volume has flip-flopped from yesterday's settlement to today between the March and June contracts. This volume shift is like clockwork every quarter.
Code:
e-mini s&p 500 futures
settlement prices as of 03/12/04 07:00 pm (cst)
MTH/ ---- DAILY ---- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT
MAR04 1105.75 1120.75 1102.25 1119.00 1119.25 +1375 119K 1105.50 306870 570982
JUN04 1104.50 1119.75 1101.00 1118.50 1118.00 +1375 741K 1104.25 36107 263051
TOTAL EST.VOL VOL OPEN INT.
TOTAL 860693 1342977 834033