Why is the volume and open interest on the March 2011 contract still higher than the June 2011 contract? thanks
Because it is a myth that you HAVE TO rollover on that Thursday. Unless you are trading 100s of contracts, it is perfectly fine to use the March contract until the 3rd Friday of that month. The rollover really is a gradual occurance and not a quick one day everyone does it thingy...
I was doing some backtesting (don't bother commenting/arguing if you don't trade with patterns or backtesting) and found that on "Rollover" day 70% off the time the market drops at the open for about an hour and a half, then pops back up until about noon. It's usually 4 points on the fall down, and 4-5 points on the rise back up. Pointing out a tendency, not a bullet-proof strategy or system.