Can you clearly explain when to switch E-mini contract months?

Discussion in 'Index Futures' started by thereuare, Sep 11, 2002.

  1. Can somebody please clearly explain when it's time to switch trading months on the ES and NQ?

    I know it's a few days before option expiration, but i don't seem to grasp the full concept of what day is the correct day to change.

    Thanks.
     
  2. One week before the last trading day.

    For example ES Sept 02 (emini) became the front month on June 14 (Fri). The last trading day for ES June 02 (emini) was June 21 (Fri).

    It is very easy to tell when this happens because the volume for the old contract drops to almost nothing and the new contract is trading immediately at the full volume. There is no gradual changeover as sometimes happens with the agricultural contracts.

    The last trading day is the third Friday of the contract month for both ES and NQ. Hence the LT for ES June 02 (emini) was June 21.

    The LT for the big contracts is the third Thursday (not Friday like the emini) which is the source of all the confusion.

    The December emini contracts (ES and NQ) will become the front month on Friday, Sept 13.

    http://www.cme.com/products/index.cfm
     
  3. high99

    high99

    Tomorrow, Thursday. The 3rd Friday of the month is triple witching. The futures switch over on the Thursday preceding the second Friday of the month. That will be tomorrow.
     
  4. i once made an inquiry - this was cme's answer:

    "The roll date is usually the Thursday before the 2nd Friday. The pit committee determines this on quarter to quarter basis. There is no set rule, it just always falls on the Thursday before the second Friday."
     
  5. 3dog

    3dog

    The actual roll occurs at the pit open on the second Thursday before expiration.

    Globex only allows one month to be traded in the overnight session. So in this case, Sep will continue to trade overnight Wed into Thursday am. Then Dec will become front month at the pit open on Thursday.

    Thursday afternoon and into Friday evening, Dec will be the only month avail overnight. But you'll see volume beginning to pick up in Dec already....
     
  6. May I assume that the pricing between the near and far contract trades at parity until the near expires?
     
  7. OK now I'm getting confused here. Its clear that Dec is the front month for ES as of Thursday not Fri as I was saying.

    When I look a ES Sept 02 daily bars, you can see that volume picked up on 6/14 which is Fri. That is, ES Sept became the front month on Friday.

    Can somone look at their daily bar chart and tell me when ES Sept became the front month?

    Maybe my program is reporting volume from the day before the way the exchange reports it instead of true volume for that day.
     
  8. I'm looking right now at both ES and NQ for both Sep/Dec and the volume's still in the September contracts by a wide margin

    Looks like tomorrow for the e-mini's. That settles it for me at least. Maybe the full CMEs change today?
     
  9. Tech,

    Are you sure you aren't replaying yesterday's datafeed? :)

    ES Z2 is where the volume is today.
     
  10. According to esignal as of 10:18am EDT:

    ES U2 volume 427006
    ES Z2 volume 12719
     
    #10     Sep 12, 2002