Lead contract switch

Discussion in 'Index Futures' started by stevene9, Aug 28, 2001.

  1. Does anyone know when the eminis will switch from September to December as the lead contract? Is there a general rule for this switch (like the first Friday of the month, or something like that)?
  2. The semi-official rollover for index futures is the 9th day of the delivery month. When that falls on a weekend, as it will this September, the pit traders in SP and ND generally begin rollover on the Thursday preceding the weekend, and complete the rollover on Friday. Thursday the 6th of September should see SP01Z and ND01Z become the lead contracts, with ES01U and NQ01U trading about equally with ES01Z and NQ01Z on Thursday and early Friday, giving way to ES01Z and NQ01Z by late Friday. The easy way to be sure of exactly how the rollover is playing out is simply to monitor the volume on SP, ES and NQ. When volume for December exceeds September, the rollover in effect has been completed.
  3. Thanks armaniman, just what I wanted to know.
  4. ron2368


    I have generally noticed in past years that the pit traded SP volume would change mid morning on thursday.

    The term for the lead month is the Front Month and also an older term called the top step contract as traders in the pit would occupy the top steps of the pit for best visibility. Just a tidbit of info I hope I remembered correctly.
  5. Just a question from a novice

    On Thursday 09/6 and in general when the rollover is made how different is the trading volatility and liquidity wise in the contract about to expire and the new front month contract? Also from a daytrader's perspective, do you keep trading the Septembre contract until Thursday 9/6 or Friday 9/7 until you know the rollover is made or can you start with the December contract before the official or actual rollover?

    Thanks. Very interesting thread.
  6. Kicking ----- I think it's nearly always best to trade the contract with the greatest volume, giving better liquidity, smaller spreads, and the most accurate possible representation of the current price. You can trade December e-Minis right now if you wish, but the liquidity and spreads will be poor. There is usually a difference through in rollover between the big S&P and big ND and the e-Minis. The big contracts roll over nearly at once, and the pit traders make only occasional adjustments ----- just every few minutes or so ---- to the price of the previous contracts, making them not only poor trading vehicles, but also contracts you would not want to use for tick-by-tick charting and indicator purposes. In the minis though, the rollover is generally smoother and more extended, and because volume and liquidity should be high for both ES and NQ contracts on Thursday and at least some of Friday, it's less of an issue. The biggest headache for me with rollover is to have to get old support and resistance levels and old Fib numbers out of my head and replace them with figures around 10-11 points higher (at current interest rates with regard to the fair-value premium). It can take a few days to adjust to the higher prices.
  7. tymjr


    Armaniman: "The biggest headache for me with rollover is to have to get old support and resistance levels and old Fib numbers out of my head and replace them with figures around 10-11 points higher. It can take a few days to adjust to the higher prices."

    I keep track of S/R and other significant info on the cash index as well as each contract so I can refer to it during the roll and into the beginning of the new most active month.

  8. Sorry I don't quite understand, why do you have to adjust supports and resistance? The value of both contract is the same at expiration, right? If there was support at 1530, isn't 1530 going to be resistance next month, assuming we keep going lower? I must be missing something with the premium and interest rates,excuse my lack of knowledge.
  9. ron2368


    At time of expiry the sept ct will have lost all its premium and be close to the spx index, and the dec will be full of premium and its price will reflect the spx plus 3 months premium.
  10. I know that but why adjust S/R? btw dou you guys watch more the cash or the futures to pinpoint the major S/R on the long term charts? I can't find any good continuous chart on the web (tradesignals is good but a bit buggy and I can't get continuous charts for some products) so I just look at the cash one year for long term supports.
    #10     Aug 29, 2001