Rolling March to June

Discussion in 'Index Futures' started by vikesfan, Mar 6, 2002.

  1. vikesfan

    vikesfan

    Hi:

    I'm new at swing trading the mini s&p's. I'm long the March contract. I know tomorrow that June becomes the front month. Is it better to sell my March contract and buy the June today or is it best to do it the day that June actually becomes the front month? I'm talking in terms of the bid/ask spread. Right now the bid/ask spread on the June is usually .75. The March is usually .25. Just trying to minimize my slippage.

    Thanks for any help.
     
  2. stevet

    stevet

    the spread is part of the liquidity and if you dont understand that - you should try to get up to speed with it before you do too much trading
     
  3. vikesfan

    vikesfan

    "the spread is part of the liquidity and if you dont understand that - you should try to get up to speed with it before you do too much trading"

    that is the whole point, Steve T, liquidity.. I am fully aware of that.. just wondering if any experienced traders can tell me when the best liquidity is for both contracts? I would think tomorrow early AM. It's not a huge deal, just asking.
     
  4. stevet

    stevet

    a rule in any market is only a rule until it is a rule

    the liquidity everyday in general is highest at the open and then either on quarter hours with the main at top of hour , but might be bottom of the hour or on the 10 or 20 min - the liquidity is greatest when its greatest - as you know about liquidity - you know you cannot know ahead - you only know in history, so just keep watching from the open and jump in
     
  5. You shouldn't have any problems for a few days. Spreads might widen a bit but it shouldn't be much of a problem.
     
  6. dgzadok

    dgzadok

    <<I'm new at swing trading the mini s&p's. I'm long the March contract. I know tomorrow that June becomes the front month.>>

    June does NOT become the front month until NEXT Thursday...

    always the 2nd Thursday of the expiration month.

    Happy Trading


    Dave
     
  7. todd960

    todd960

    Not next Thursday, this thursday the 7th.
     
  8. Not true. When Friday is the first day of the month, it is the first Thursday of the month, as is today's case. Hope you rolled Dave or you're in for a hectic morning!
     
  9. Easy way is to think of it as the THURS prior to the SECOND FRI of the expiration month.
     
  10. 3dog

    3dog

    The roll is based off of the expiration.

    The index futures expire on the 3rd Friday of the contract month.

    The roll takes place at pit open on the 2nd Thursday prior to expiration.

    This was an unusual month in that the first day of March was a Friday.
     
    #10     Mar 7, 2002