Is there a rollover day rule-of-thumb for CL similar to the CME's equity index futures which is quarterly on: "Two Thursdays Before the Third Friday". I know the contract expires 3 days before the 25th, but is there a specific day when the next contract becomes the higher volume contract (top step). thanks, cT
I read it that he's asking whether there's a specific date when people start to actively start trading the second month rather than the prompt month, not when the contract expires. Personally I don't always do it at a specific date. I start paying attention about two weeks prior to expiry then just move over when the second months daily volume exceeds the first month. There's probably some kind of 'rule' as to when best to change over, but I don't know it!
Why does there have to be a rule? Start trading the front month when it is more active, if you are position trading CL, a few days prior is fine. I am confident you can count the CL position traders on this site on one hand.
True! I guess there doesn't!! Just never been asked that question before! Always just moved over when the volume is more in the second month. Not on any particular date.
Ok, maybe "rollover" was the wrong word to use here. For daytrading, is there some predetermined number of days before contract expiration when the next contract is the high volume contract. For example the ES, NQ, TF, YM at exactly 8 calendar days before the contract expiration, the next contract becomes the high volume contract. This is known way before that day gets here. I'm asking for the purpose of backtesting daytrading systems. It would sure help me to deal with all these monthly contracts if I didn't have to compare all the volumes to determine when the "rollover" day was. With the equity indexes, I know beforehand based on the rule-of-thumb: "Two Thursday before the third Friday" (The third Friday being expiration day). thanks, cT
If the group doesn't mind, I'd like to use this thread to document my attempt to reverse engineer a rollover rule-of-thumb for CL. I realize a rollover rule-of-thumb probably does not exist because: a) The fine folks here would have already spelled it out and/or b) There is perhaps a fundamental difference between CL and ES (in regards to rollovers). Perhaps the supply and demand situation is unique each month and therefore volume relationships are different each month. With that said, I'll give it go anyway. <g> So according to my datafeed, this morning on 10/19/2009 the dec 09 contract's volume exceeded the nov 09 volume. I consider today to be the rollover day. So as a starting point for a rollover rule-of-thumb, I'll just count business days back from where the cme/nymex's Last Trading Day rule starts counting from - the 25th calendar day. The starting CL rollover rule-of-thumb to be tested next month: "Rollover will be the morning of the 4th business day prior to the 25th calendar day of the month preceding the delivery month. If the 25th calendar day of the month is a non-business day, the rollover will be the morning of the 4th business day prior to the business day preceding the 25th calendar day" (which is what happened this month). So according to this rule, next month's rollover will be the morning of 11/19/2009. We will see... thanks, cT
Rule of thumb If the last trading day falls Monday to Wednesday, trade the current contract till Friday (last week), switch on Monday. If the last trading day falls Thursday or Friday, trade the current contract till Tuesday, switch on Wednesday. So next month I will switch on the 18th Nov
So far so good. Next month, however, will be a little bit messy with the holiday in there. But following the rule of thumb - Dec 18, 2009. cT