The bid/ask diff could be 2/32 or more! 300 bid size, 500 ask size,only 1 transaction! No transaction for few minutes! Is the TNotes market sick? Or many are still in holiday?
The liquidity has moved to the March 2003 contract. I'm glad I saw your post -- I hadn't noticed the roll to the new contract.
How would it be too early to roll to the March contract if that is where the liquidity is? I don't understand your question. I doubt Christmas has anything to do with it. What is the usual roll date for T-notes? Is this unusually early?
I mean when will the liquidity usually move? 2 or 3 weeks before expire? The NQ still has quite a lot transactions in the Z02 but TN moved to H03.
Each contract has its own rules for when it rolls. Evidently the T-note rolls on the first day of the expiration month. The NQ rolls on the Thursday after the first Friday of the expiration month.
Where do you find out the roll rules for each contract? Not sure. I heard the NQ rule here on ET a year or so ago.
I don't think there are rules written in CBOT books on roll over date, except for the notice dates and delivery dates... As for the roll over dates, it's just the different strategies used by the big hedgers. For us (except Bones), small fish speculators, we just have to follow them, and pick up little timbits here and there. Cheers!!
Friday the 29th was First notice day in DEC. Yesterday was the first full day of MAR as the front month