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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
Rollover starts today for September 2011 contract! :)
I'll be in the sept till monday.
Originally posted by CharterJoe

I'll be in the sept till monday.

Why is that Joe? Are you holding a Sep contract that you bought before today or still buying and selling the Sep contract?
I used to hand draw a S&P cash 30min chart and the closer it got to exp. the closer the back month would get to the cash, I would use the cash S&R levels I used in the ES. Its just a personal pref. I suffered a large loss using the front month so its just a habit to wait to trade the larger vol contract. And off topic but I am back to the ES now because the euro zone stuff has affected the way I trade the eurusd. Not because I can't trade for a living off the eur but it takes a large amount of energy to trade 24hr market. I could trade ford options I think it best to not be a specialist. Remember when the russell 2k con went off cme and a lot of russell traders went out of biz looking for a new market. I went to eur/usd because jim scared the **** out of me with the tax law change I went to FX because I have no other skills trading is all I way off topic
Experation is the 3rd Friday of the month, rollover is 8 days before. Not every asset class changes every equities does it quarterly. Typically I do it on the Following monday.... but this month I did it on friday. The reason was I looked at the volume btw the 2 contracts and saw "Z" had about 60% more volume than "U".
Rollover for the ES, YM, NQ and many other CME contracts is on Thursday 12/8/2011. Contract will roll from December 2011 (Z11) to March 2012 (H12).
Contract rollover is on Thursday 3/8/2012.

Contracts roll from March 2012 (H12) to June 2012 (M12).
I got an email from Larry Levin saying that they're not going to rollover till Monday exact quote below.

"Thursday is the first day of rollover, which is when the March ES futures contract changes (rolls) to June. We call it “top step” in the pit. In the past we would trade the new June contract on its first day (Thursday) but now we will wait until next Monday. The reason for the change is that volume will stay quite heavy in March until next Monday, which gives us the best chances for good trades.


anyone else hear anything about this?
I traded June from the open and had no issues with any fills. volume showed about half of March throughout the day, but again no problems.

I had not heard of the "wait till Monday" line though.
Thanks myptofvu - This is the first that I'm hearing of this. I just ran an analysis of the volume in the ES contract for both March and June for today and it appears that Levin is correct and the volume in the March contract for today remained at around three (3) times that of the June contract throughout the day.

However, I also noticed that eSignal rolled over today so their #F symbol represented the June contract today and the March contract yesterday.

Conclusion: volume is still in the March contract but there is no agreement at the moment on the rollover date.

Anybody else have more info on this? Is there an official statement from the CME that anybody is aware of?
This is rollover week.