S&P 500 rollover query

Discussion in 'Index Futures' started by biduece, Feb 20, 2021.

  1. biduece

    biduece

    Hi
    I was looking for when E-Mini S&P 500 futures contract expire? (ES) and found following on google.

    Output from google- Contracts expire quarterly in March, June, September, and December at 9:30 a.m. EST. Expiration dates for 2020 are March 20, June 19, September 18, and December 18. Rollover dates are March 12, June 11, September 10, and December 10.

    Is there anything to notice when volume switch to new contract? I am new trading s&p 500, when trading CL I remember volume switch 1-2 days before; so is there something to watch for or just trade new contract after rollover?
     
  2. narafa

    narafa

    Check your broker future contracts cut-off, automatic rollover & auto-liquidation dates.

    For S&P E-minis (ES), usually you will be allowed to hold your positions in the front month contract until 1-2 business days prior to the expiration. Probably what you found on Google is an estimation or a recommendation to rollover those futures 1 week prior actual expiration.

    Example, for IB, you can check all those dates from this link:

    https://www.interactivebrokers.com/en/index.php?f=deliveryExerciseActions&p=physical

    For some reason, I can't find ES, NQ or YM there right now (Could be some glitch, but I am sure it will be back working again on Monday).
     
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  3. Millionaire

    Millionaire

    Rollover for US Stock Index futures is 8 days before expiration.
    Expiration day is the third Friday in the month of expiration.
    So roll over day is the Thursday in the week prior. And the next day after that (Friday) is when volume will be higher in the next contract.

    European Stock Index Futures i think are more like CL, the volume switches over just 1 day before expiration
     
    Last edited: Feb 20, 2021
    biduece likes this.
  4. maxinger

    maxinger

    simply list the
    ES Dec 20 and ES Mar 21 contracts and look at it on daily basis.
    When the ES Mar 21 volume is more than ES Dec 20, then switch over to the ES Mar 21 contract.
    don't bother about the 1-2 days before switch over thing.

    Use the same concept to switch over for other products like
    crude oil, corn, soya, copper, gold, Nikkei, DAX, bund, HangSeng, CAC40 .... futures.
     
    Last edited: Feb 20, 2021
  5. Millionaire

    Millionaire

    Thats what i used to do. Until i realised for ES/NQ etc it is always the same day when volume moves from one to the other, 7 days before expiration, so no need to monitor volume. You just switch on that date.

    Other markets have their own conventions.
     
    Last edited: Feb 20, 2021