When do we switch to June contract?

Thanks for the daily ES settlement data. However, there appears to be a major discrepancy between the estimated volume for JUN04 on 3/11/04 (1036K), and the prior day's volume reported for the same contract on 3/12/04 (36K). Looks like some leading digits were dropped.
 
Code: 
e-mini s&p 500 futures
settlement prices as of 03/15/04 05:00 pm (cst) 

MTH/           ---- DAILY ----                      PT    EST   ---- PRIOR  DAY ----
STRIKE  OPEN    HIGH      LOW     LAST     SETT     CHGE  VOL   SETT    VOL    INT

MAR04 1117.50 1122.00  1102.50  1106.50A 1106.25   -1300   67K 1119.25 119451 540068
JUN04 1117.25 1118.75  1101.50  1105.25  1105.00   -1300 1037K 1118.00 741242 320891
TOTAL                                                EST.VOL      VOL  OPEN INT.
TOTAL                                                  1105387     860693     860959

What I find interesting about the change in volume and open interest is that the OI does not appear to have predominantly shifted to the June contract as of Friday's close. This would back up what saxon is doing by rolling over his position trade later than last Thursday. Though I would note that today in the March contract the spread was mostly .25/.5 in the morning and .5/.75 in the afternoon. The cost starts getting pretty high at a .75 spread, even for a position trade IMO.

Quote from Diode:

Thanks for the daily ES settlement data. However, there appears to be a major discrepancy between the estimated volume for JUN04 on 3/11/04 (1036K), and the prior day's volume reported for the same contract on 3/12/04 (36K). Looks like some leading digits were dropped.
More...

Yes looks like the CME website truncated the data.
 
Code: 
e-mini s&p 500 futures
settlement prices as of 03/16/04 07:00 pm (cst) 

MTH/           ---- DAILY ----                      PT    EST   ---- PRIOR  DAY ----
STRIKE  OPEN    HIGH      LOW     LAST     SETT     CHGE  VOL   SETT    VOL    INT

MAR04 1106.50 1114.25  1102.50  1111.25B 1111.50    +525   58K 1106.25  67433 509695
JUN04 1105.00 1113.00  1101.00  1110.50  1110.25    +525  874K 1105.00  37954 354220
TOTAL                                                EST.VOL      VOL  OPEN INT.
TOTAL                                                   933138    1105387     863915

Again, the prior day volume appears to be truncated for the June contract.
 
Do you think if we all email CME thay will open up the column to a few more digits?.....or perhaps this will require an act of god?

Michael B.



Quote from TriPack:

Code: 
e-mini s&p 500 futures
settlement prices as of 03/16/04 07:00 pm (cst) 

MTH/           ---- DAILY ----                      PT    EST   ---- PRIOR  DAY ----
STRIKE  OPEN    HIGH      LOW     LAST     SETT     CHGE  VOL   SETT    VOL    INT

MAR04 1106.50 1114.25  1102.50  1111.25B 1111.50    +525   58K 1106.25  67433 509695
JUN04 1105.00 1113.00  1101.00  1110.50  1110.25    +525  874K 1105.00  37954 354220
TOTAL                                                EST.VOL      VOL  OPEN INT.
TOTAL                                                   933138    1105387     863915

Again, the prior day volume appears to be truncated for the June contract.
More...
 
Down to 57K volume but OI holding firm on March. It looks like many of those contracts will be held through settlement. Do they only pay half turn if they do that? :D
Code: 
e-mini s&p 500 futures
settlement prices as of 03/17/04 07:00 pm (cst) 

MTH/           ---- DAILY ----                      PT    EST   ---- PRIOR  DAY ----
STRIKE  OPEN    HIGH      LOW     LAST     SETT     CHGE  VOL   SETT    VOL    INT

MAR04 1111.75 1126.00  1110.75  1123.75  1123.75   +1225   57K 1111.50  58429 494598
JUN04 1110.25 1125.00  1109.50  1122.50  1122.50   +1225  695K 1110.25 874709 389027
TOTAL                                                EST.VOL      VOL  OPEN INT.
TOTAL                                                   752476     933138     883625


Quote from ElectricSavant:

Do you think if we all email CME thay will open up the column to a few more digits?.....or perhaps this will require an act of god?

Michael B.
More...

I doubt it - they don't have a great customer service track record.
 
I'm almost done beating this dead horse thread so please bear with me. Looks like OI finally reached parity on Wednesday. Is it a coincidence that Wednesday was also the slow plodding manufactured uptrend we've grown so accustomed to on these contract expiration weeks?

Code: 
e-mini s&p 500 futures
settlement prices as of 03/18/04 07:00 pm (cst) 

MTH/           ---- DAILY ----                      PT    EST   ---- PRIOR  DAY ----
STRIKE  OPEN    HIGH      LOW     LAST     SETT     CHGE  VOL   SETT    VOL    INT

MAR04 1123.75 1126.75  1112.75  1124.25  1124.25     +50   54K 1123.75  57211 418317
JUN04 1122.50 1126.50  1111.50  1123.00  1122.75     +25  837K 1122.50 695265 404607
TOTAL                                                EST.VOL      VOL  OPEN INT.
TOTAL                                                   892126     752476     822924
 
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