According to this message on the QCharts Yahoo board by Alexis Montenegro, the contract switch will happen on Thursday, September 13, 9:30 am. Something about the Thursday before the second Friday of the month. http://groups.yahoo.com/group/qcharts/message/25012 -v
Both the CME and the CBOT have deferred rollover from September to December until 1 day AFTER equities have re-opened. Should be Tuesday. Www. E-Mini.com
It's my first time trading through the rollover period I am still not sure what to do with the S/R and MA's of the December contract practically how do most of you do it? I use mostly S/R to trade so it's very important I have the right numbers I have been keeping only the numbers for ESZ1 except for levels of 98 and late summer on the cash. Do you take the corresponding numbers for the cash and add today's fair value ?What about the 15 min, 30 min, 60 min etc MA's I would use the lead contract numbers for the lower time frames only, but not sure for the daily MA's and the difference is significant . I need help here I think thanks.
Sorry another question just to keep the thread active : today's fair value given yesterday night on Bloomberg TV was 1.27, the other source I use http://www.stormchasertech.com/ has fair value for Friday 12/14 at 2.03, also two days ago it was something like 1.4 on Stormchaser Technologies website. How can there be such a wide variation from one day to another? It should get lower and lower as expiration approaches and the index has been falling. The only explanation I have is that the data is simply erronuous. Do you know another website where one can get the fair value number? BTW what short term interest rate should be used to calculate FV?
replying to my own posts here, for the record, the levels I had annotated on ESZ1 seem to be satisfying to work with on ESH2. Anyway there is only a one point difference between the cash and the March contract not a lot more than the PREM on ESZ1 a few weeks ago (why?). For ex. for today I had the following levels from ESZ1 1128.75-29.5 , 1130.5, 1132-32.5, 1135.5-36, 1137.5, 1138.5 these are not always significant S/R of course just levels where a thrust paused and today it did that almost exactly again. Same with NQ at 1635,1643-44,1650,1654-55, 1660-62.