rollover month

Discussion in 'Index Futures' started by tradecrumbs, Mar 16, 2007.

  1. When does the emini S&P500 roll over? I noticed we are trading in June now, but March isn't over yet. I thought the rollover didn't happen until the third Friday of the each Quarter? The third Friday for March would have been today. But we were trading in June last week?
  2. bigbob


    Wow!! Tell me what you are trading. I'll trade against you any day. I'll sell you some March options if you want.

    Seriously: Today was expiration. The actual day of rollover for stock index futures is on the Thursday 1 week before expiration(1 week and 1 day ago). This used to be the day that the next quarterly month contracts started trading in the big pit at the CME and the current quarterly month was moved to the back month pit. Now that the markets are more or less electronic, you don't see the sharp switch in volume that you used to, but it is still there. Some guys refer to the entire last 2 weeks before expiration as the rollover period because a good portion of the volume is from customers rolling their soon to expire front month positions into farther out contracts.

  3. Thank you everybody.