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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.)

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March to June 2005 volume change on contract rollover day.


More information about rollover day can be found on this page: Rollover Days
REMINDER - Rollover Day is this coming Thursday 7th December 2006.

Don't forget to change to change your symbols on BOTH your trading platform AND your charting platform.
Rollover is this coming Thursday on 8 March 2007 if I've done my calculations correctly.
Equity Futures will roll on Thursday 7 June 2007.

More info here: Rollover Days
Thanks for letting us know.
You're very welcome. The 5th page of that article has a cool chart that shows how the volume shifts from the one contract to the other on rollover day (i.e. tomorrow).
Thanks for the reminder email!
You're very welcome - it's an easy thing to forget.
Equity Futures will roll on Thursday 13 September 2007.

More info here: Rollover Days
Reminder: Futures roll this coming Thursday - 13 December 2007.
Reminder: Futures contracts will rollover tomorrow - Thursday - 13 March 2008

For the equity index futures that trade on the CME/CBOT the futures contracts roll on the quarter month (i.e. March, June, September, December) 8 calendar days before expiry. Expiration is on the third (3rd) Friday of the month. This means that rollover will always be on a Thursday.
This is rollover week.