Thanks for the reminder, but I haven't found it to be anything but a market inflection point for the most part.
Thank you for the reminder @Rickshaw Man , below is what we send our clients the day before ( later today) hope this helps! Rollover Notice for U.S. Stock Index and Currency Futures Tomorrow, Thursday, June 9, is roll-over day for stock index futures contracts, i.e., the E-mini and Micro S&P, Nasdaq, Dow Jones and Russell 2000. Starting tomorrow, the September futures contracts will be the front month contracts. Volume in the June contracts will begin to drop off until their expiration next Friday, June 17th (8:30 A.M., Central Time). At that point, trading in these contracts halts. Stock index futures are CASH SETTLED contracts. If you hold any June futures contracts through 8:30 A.M., Central Time on Friday, June 17th, they will be offset with the cash settlement price, as set by the exchange. Monday, June 13th is Last Trading Day for June currency futures. It is of the utmost importance for currency traders to exit all June futures contracts by Friday, June 10 and to start trading the September futures. Currency futures are DELIVERABLE contracts. By holding any June futures contracts through the close of Last Trading Day, you will be subject to delivering (short positions) or taking delivery of (long positions) the full notional value of the futures contract. So, unless you’re sitting on 12,500,000 Japanese Yen to give to the exchange, exit that short position. The month code for September is ‘U.’ Please consider carefully how you place orders when changing over.
IB let's you physically settle IMM FX and lends you the currency if you don't have it. Probably best to roll or close but FYI GAT
Read on another board that CME changed the rollover from Thursday to the Monday prior, so rollover would be Monday the 13th. Haven't seen any notices, but did find this: https://www.cmegroup.com/trading/equity-index/rolldates.html
The "official" roll date is the Thursday before expiration, 8 calendar days before, see screen shot below. HOWEVER most professional traders will wait for the volume to be higher in September before switching, I noticed that last few years that happened to be Monday. So far this morning June volume on all indices is still higher in June.
According to the link I posted, it looks like the official roll date has been changed to the Monday prior to expiration. Notice the March contract's official roll date was on the second Thursday, as usual, but starting with the June contract, the roll date is on the Monday prior. Same with the upcoming September and December contracts, roll date is on the Monday prior.
I read the previous posts, but it is still unclear to me what the importance of "official roll date" is, and what impact this particular day has on me. My understanding was that you can look at the state of roll which is published by CME, which shows the gradual progress of the roll before the expiration date, i.e. the volume and the OI of the front and mack month contract. Can someone please elaborate on the importance of "official roll date"? Thanks a lot.