Which day do you pick when rolling over index futures?

H

helpme_please

Let's use the Hang Seng Index futures as an example. The contract expires on 29th of every month. Suppose I want to roll over this contract. What are some guidelines on the timing to do the roll-over? Should I do it on the actual day of expiration (29th), or 1 day earlier or 2 days earlier? Does the day(Monday, Friday ...) of the week matter? What is the best time of day to do it? During trading hours of underlying index?

What guidelines do the elitetraders here follow when choosing the timing to roll over index futures?
 
Big AAPL said:
Bring up two T&S windows and when the front month volume achieves parity with the expiring contract make the switch. That's how I roll it for the ES at least.
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Thank you. Sounds like a good guideline to follow.

May I ask does that usually happen on the last trading day or expiration day? How many days before expiration day does it usually happen?

Is it possible that parity never happens sometimes due to issues like contango or backwardation? Hmm ... does contango/backwardation happens for index futures or does it only happen for commodities? When I read about contango/backwardation, it is usually mentioned alongside commodities and never indices.
 
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I can only speak for the ES, but it usually occurs the day after the official rollover.

Commodities can experience the issues you speak about for many reasons, one being the fact that physical delivery can skew those contracts.
 
I think it has less to do with the day and more to do with the volume and open interest. I keep two windows open for a week or so. One with the front month expiring and one with the next time period out. I want to be out of the front contract before it becomes illiquid. If your futures are part of a hedge, you can spec on the leg-in/leg-out.
 
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