Rollover to the "U" contract today?

There is no delivery of index futures. Settlement is in cash. I think there's delivery of futures in bonds, but not in emini gold. You need to check for each contract- it varies even between electronic and full sized contracts.

 

ES contracts are cashed settled.

I have another question though. I use Ensign powered by e-Signal. If the June contract expires a week from tomorrow, why is my continuous contract data (ES #F in e-Signal) moving tick for tick with the September contract if the June has yet to expire? Is it because traders rolled over to this contract and it has more volume?

By the way, traders usually roll over to the next contract on the 2nd Thursday, and the contract expires at the end of trading on the 3 rd Friday. I never understood why this happens, but it does. In fact, I think when we rolled over to the June contract from the March contract, traders did not rollover to the June until the Monday of the expiration week, not the Thursday before.

 

Sarasota:

Check out this site for more on Continuous Contracts:

http://www.norgate.net/continuous.htm

Kermit

 

Thanks Kermit...that answered my question.

 

I didn't see the answer in the link Kermit gave.. was it that esignal rolled based on open interest? and not volume? thanks..

 

Volume in the June contract dries up beginning today and by next Friday is virtually zilch.

 

CaroKann,

I think there are 2 questions in here. One is Sarasota’s quote regarding traders not rolling over to the June until the Monday of the expiration week and not the Thursday before. Then there is the other question of eSignal rolling over to capture the September contract prices for its continuous ES even though June has yet to expire.

Regarding the first, although traders can start rolling over to the lead contract month (Sept. for S&P now) the 2nd Thursday of the expiration month (today), some may choose not to perform the roll over this very day and still trade the June contract up until June 19th, after which the contract ceases to exist. Would you want to do that? Probably not because starting today, the September contract is where the volume/liquidity is as the June contract tapers off dramatically.

As for the second, that’ just the way eSignal chose to implement it for the Stock Indexes where they force rollover 8 days before the 3rd Friday of the expiration month. See the following:

http://www.esignalcentral.com/support/faq/esignal/futures/futures_rollover.asp

Kermit

 

Kermit, once again, excellent information. Good job in keeping us all informed.

 

YW, Sarasota.