Rollover begins this week ... Thursday 9/12/19
Happy Holidays!
Happy Holidays!
When to rollover ES ?
- Thread starter traderwald
- Start date
This is actually an interesting question.
https://www.cmegroup.com/trading/equity-index/rolldates.html
CME always has the official E-mini roll date as Thursday, but generally the volume for the next contract (Dec) will be relatively thin on Thursday. I consider the "true" roll date to be Friday (9/13 for this week) when daily volume for the next contract roughly equals the average daily volume of the previous contract.
For ES, this isn't really a big deal since liquidity and volume is already so massive. It matters more for NQ, YM, etc.
Related rant: NinjaTrader goes along with CME's official date of Thursday. I always have to go in and change it manually which is irritating. Their gold roll date goes the opposite way and is always a day late, much to the chagrin of their own brokerage.
https://www.cmegroup.com/trading/equity-index/rolldates.html
CME always has the official E-mini roll date as Thursday, but generally the volume for the next contract (Dec) will be relatively thin on Thursday. I consider the "true" roll date to be Friday (9/13 for this week) when daily volume for the next contract roughly equals the average daily volume of the previous contract.
For ES, this isn't really a big deal since liquidity and volume is already so massive. It matters more for NQ, YM, etc.
Related rant: NinjaTrader goes along with CME's official date of Thursday. I always have to go in and change it manually which is irritating. Their gold roll date goes the opposite way and is always a day late, much to the chagrin of their own brokerage.
"However, the trading floor convention is to roll the expiring quarterly futures contract month eight calendar days before the contract expires*.This is known as the roll date."
There is no trading floor, FFS. Therefore, the roll over date does not matter for retail. Just get out when you can with the tiny retail size that we trade. If you trade positions with thousands of contracts, then yeah, it may matter.
And no, for retail, it does not in NQ or YM either. If you have a few contracts, you'll get yer fills.
Just be out before LTD. OK?
There is no trading floor, FFS. Therefore, the roll over date does not matter for retail. Just get out when you can with the tiny retail size that we trade. If you trade positions with thousands of contracts, then yeah, it may matter.
And no, for retail, it does not in NQ or YM either. If you have a few contracts, you'll get yer fills.
Just be out before LTD. OK?