Remember: Tomorrow Is Rollover Day for Index Futures

Discussion in 'Trading' started by pspr, Jun 10, 2009.

  1. pspr


    •Rollover is 8 days before expiration.
    •Expiration is the third Friday of each quarter month (March, June, September, December)
    •The contract letter associated with each month is: March=H June=M September=U December=Z
    •Rollover is on a Thursday.
    •Rollover is usually on the second Thursday of the month but will be on the first Thursday if the first day of the month falls on a Friday
    •Volume shifts to the new contract at market open (09:30 EST) on Rollover day
  2. How do you adjust your S/R levels on rollover day? I mean, the Sept S&P is 4-5 pts below the June contract, and the S/R lines we've been watching are based on the pricing of the June contract.

  3. pspr


    I started the September contract data a few days ago and just replace the sysmbol in my charts. My S/R & fibs are all automatic so they adjust themselves. I don't know how everyone else does it.
  4. you registered in Jan 03 and you are asking how do you adjust?
  5. wow cold
  6. auspiv


    maybe he was just curious as to how you adjust. hopefully, he already has a method, he just wants to see if he is missing out on anything.
  7. so, what really happens on the rollover day?

    ".........What else happens on rollover day?

    You may hear plenty of myths and "truths" about rollover and expiry days. Don't believe any of it until you have seen it several times or have back tested this and verified it. I have heard many traders say: "They always mark it up on rollover day" or "stay away from rollover day because it is choppy and impossible to trade."

    First of all do your own back testing and investigations before you believe any of this. Start off by looking at the charts on this page and see if any of them (all from rollover days) match what you have heard. Then get some data from previous rollover days and see what happen on those days. Even daily data will allow you to compute the change from open to close or from previous close to rollover day close.

    There is no reason for the market to act any differently on rollover days. Scalpers, day traders, swing traders and longer term investors balance each other out. Traders trading large size contracts know that they risk moving the market if they are rolling from one contract to the other and so they break their positions up into more manageable sizes and move their contracts in partials in order to get the best execution prices. Traders are not focusing on the rollover process but instead on strategies that will make them money. They want to move to the next contract at the best possible prices and lowest possible costs. The rollover process is merely a mechanical necessity of the market.

    There are (allegedly) pit traders that just specialize in the days around rollover. They only trade these days (I have no idea what they do for the other 10 weeks in between rollovers but this is what I've been told) and they trade the widening spread in the expiring contracts. For whatever reason there are longer term traders that don't close out and roll their contracts at the optimum time. These rollover "specialists" will make a market (at a wider than normal spread) in the expiring contract and (apparently) make a very good living out of the rollover process."