Why the roll over??

Q

qazmax

Why is it that e-mini volume rolls out a month on the Thur. a week before?

Is there a logical reason for this or just old habit...??

Always scared to trade this day through expiration...

:)
 
I know this has likely been covered around this time every 3 months for the past several years... but I could not find an answer under the search feature.

So, sorry upfront for the rookie question...

:)
 
It's not really a rollover. That happens next week. The SP pit changes it's front month on the second Thursday of the expiration month for the main pit. This is called pit rotation. When this happens the liquidity in the current contract starts dropping. Most emini vendors won't allow you to enter new positions using the September contract once this happens, so you're stuck going to the December contract.
 
I get that there is a new front month coming into play. What I do not get is why it always becomes so active on the same day approx (1 week and 1 day before expiration). Why not the Thur before it expires? Or some other day?

Thanks,

:)
 
Quote from qazmax:

I get that there is a new front month coming into play. What I do not get is why it always becomes so active on the same day approx (1 week and 1 day before expiration). Why not the Thur before it expires? Or some other day?

Thanks,

:)
More...

Here's a guess... Practice was set years ago when interest rates were higher. It was probably about the "Thursday, the week before" expiraton that the premium went to approximately zero in the expiration month (thereafter, negative).

 
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