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Contract Rollover


When does volume switch from one contract to another? The chart below shows the volume for the March and June 2005 contracts for the E-mini S&P500 between 09:00 and 10:00 EST. The volume for the old contract (March) dominates in the first 15 minutes and then again just before the open at 09:30 EST. Otherwise you can see that the volume in the new contract (June) have taken over. (The chart shows the 5 minute average volume for each minute. e.g. The volume on the 09:17 bar shows the average volume per minute from 09:15 to 09:19 inclusive.)

Click image for original size
March to June 2005 volume change on contract rollover day.


More information about rollover day can be found on this page: Rollover Days
Exactly what happened to me this morning. I thought that charts were lagging J-Trader but I just forgot to change symbol on charts.
A reminder - Rollover Day is this coming Thursday 8th June 2006. Don't forget to change to change your symbols on BOTH your trading platform AND your charting platform.
How many days in advance should you change over to the new contract?
Thought I recalled reading a post saying 8 days.
Trading ER2 so what will be the new symbol ER2V6?

Thanks
Correct, rollover is 8 days before expiration. I believe that expiration will be on the 15 September 2006 so rollover will be on 7 Sep 2006. ER2 will change its symbol from U to Z so depending on your platform it will usually involving chaning the penultimate character. On eSignal, for example, you change from AB U6 to AB Z6. What platform are you using? I predict that yours will be ER2Z6.
Where can one find info on rollover dates for various contracts?
Using neoticker with MBTrading feed may have to opt for better feed soon.
quote:
Originally posted by msc

Where can one find info on rollover dates for various contracts?


Not sure about that one. The E-minis and the futures on the CME and the index futures on the CBOT and a few others all use the 3rd Friday of each Quarter month for their expiration. This makes it fairly easy to calculate it off a calendar or in your head without having to look it up. So all expirations are in March, June, September, December and always the 3rd Friday. Rollover is 8 days before that. Very simple.
quote:
Originally posted by msc

Using neoticker with MBTrading feed may have to opt for better feed soon.


I don't know about NeoTicker or MBTrading but some platforms include features to make Rollover easier. For example, eSignal have the concept of a continuous contract which switches to the next contract automatically on Rollover Day. So to use a continuous contract in eSignal you would specify (from E-mini S&P500) ES #F instead of ES U6 and then on the 7 Sep 2006 the #F will automatically switch itself to the ES Z6 contract.
At IB I get the warning that it's rollover time. TWS asks me if I want to switch to the next contract.

This hints me to change te contracts in my charting- and tradingsoftware.
REMINDER - Rollover Day is this coming Thursday 7th September 2006.

Don't forget to change to change your symbols on BOTH your trading platform AND your charting platform.
This is rollover week.