It appears that the volume switched over starting this past Tuesday towards the December contract. This would be 5 business days previous to the 25th of the month. Is this the formula for oil contracts every month? 5 business days prior to the 25th?
It isn't mandatory to roll your entire position on one fixed day. If you wanted to, you could roll 20% on day X, another 20% on day (X+1), another 20% on day (X+2), 20% more on day (X+3), and a final 20% on day (X+4). This smooths out some of the random fluctuations in the price for the spread. Another play you could try, is to use limit orders to roll over. Execute my spread at a net difference of D, or better. Work it for a while, perhaps 2, 3, or 4 days. This reduces rollover slippage dramatically. If still not filled, and you're getting itchy, switch to a market order. A fairly common play is to rollover slightly before the Goldman Sachs Commodity Index's published rollover schedule. Since there's a LOT of money in index funds whose job is to exactly match the GSCI, there are a LOT of rollover spreads traded on the exact GSCI schedule. Why not get a bit ahead of that freight train?
Not really looking for a strategy, however that is interesting all the same. I have strictly traded YM and ES, which always roll over at 9:30 AM eastern, on Thursdays a week prior to the third Friday. But we all know that. I am just getting a feel for oil, and it appears the volume switches five days before the 25th of each month. Looking for confirmation is all.
Pinnacle Data rolls on the 11th. I think they do it on the Close. http://www.pinnacledata.com/clc.html You may want to briefly consider the idea of NOT trading all twelve months of the NYMEX energy contracts. You may want to think about rolling less often than 12x per year. For example you may want to consider rolling only twice a year (trading the M contract for 6 months, then trading the Z contract for six months). Or maybe rolling 4x per year (trading HMUZ, just like currencies), et cetera. It might be one way to cut down on slippage of rollover trades, which are notoriously awful on NYMEX. Just a thought.
You might want to read a thread I started a while back that addresses this very issue. The thread title is "CL Rollover Rule". http://www.elitetrader.com/vb/showthread.php?s=&threadid=177952 Bottom line is, as far as I can tell, for CL there is no hard-and-fast rule for the rollover date like there is for ES and NQ. Since the last message of that thread, using the rule that I more-or-less defined in that thread, I've been able to predict the volume rollover day within plus or minus 1 day each month. cT
I was at the CME Group site, and looked at the data for the CL contract under "settlements" which shows each days activity. The volume switch over Tuesday this past week. Which is 5 business days prior to the 25th. So for me, I will set that in concrete as being the semi-official "rollover" date. Mucho thanks for all the response.