how do i figure out the rollover volume ?

Discussion in 'Index Futures' started by polee2000, Sep 12, 2006.

  1. for Eminis
    like ER2 December has 212K
    sep has 192K
  2. Front month rollover for CME equity index futures: the Thursday prior to the 2nd Friday of the expiration month (generally, the 2nd Thursday).
  3. m4a1


    this is what everyone says, but there's still plenty of volume in the U contract.
  4. basically i want to know the net trade volume for december
    because i think the current volume includes the rollover volume
  5. There may still be "plenty" of volume in the September contract, but it is no longer the front month. The December contract becomes the more active one at the rollover date I noted in my prior post. Further, the September contract expires in a couple of days.