What is the practical rollover date for Dax futures? Some say expiration day and others say expiration day -1. Thanks.
7 AM Eastern time on the day of expiration. I just don't trade that day until after the prior contract expires. Expiration day is the 3rd Friday of March, June, Sept, Dec. Make sure you don't trade any futures contract without fully understanding its contract specification. http://www.eurexchange.com/products/FDAX.html
7:00am eastern time is 1:00pm exchange time (13:00 CET) which is the exact time that the contract expires. Do people trade the front month up to expiration day? I don't have volume data so I can't check if volume starts dropping off earlier. Also, I believe it's cash settlement, correct? If this is the case, then what do you have to fear from accidently not closing your position at expiration? Thanks.
Nothing ... except a wild move against your position (and margin requirement for a position that is already gone).
Most brokers or clearing firms will not allow you to hold a position into expiration even if it is cash-settled. You have to check with your broker. If this is the case, then your position may be closed at an unfavorable price. The FDAX will trade the old contract with a higher volume up to the close of Thursday afternoon. On Friday's open, the volume on both contracts is usually favoring the new contract as 13:00 CET approaches. To make matters easier and under your control and to avoid the Final Settlement Procedure, it is best to just close the old position and establish a new one or roll through a calendar spread.
As Popeye would say, I tests what I trades and I trades what I tests. I test, and I trade, rolling over the DAX futures at the Close on the 8th calendar day of the month. If that's a holiday or weekend, on the first market day thereafter. Here is my super proprietary, double top secret setup for CSIData on the DAX (which is CSI symbol "FDX"). See attachment. After viewing, please have the courtesy to wash your eyes out with distilled water. If you need a sentence with fewer words: I roll over on March 8th, June 8th, Sept 8th, and Dec 8th. Am I a day trader? Heck no.