Some quick facts on Rollover Days

Discussion in 'Trading' started by TraderTactics, Jan 23, 2010.

  1. The following applies to many (if not most) futures contracts especially those from the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT).

    > Rollover is 8 days before expiration.
    > Rollover is usually on the second Thursday of the month but will be on the first Thursday if the first day of the month falls on a Friday
    > Expiration is the third Friday of each quarter month (March, June, September, December)
    > Rollover is on a Thursday.
    > New day trading or swing trading positions opened on rollover day should use the new contract month irrespective of when you plan to close it.
    > Volume shifts to the new contract at market open (09:30 EST) on Rollover day
    > New swing positions might be better opened using the new contract if opened within a few days of rollover day.
    > Market myths abound at rollover and expiration. Check the source and confirm the probabilities before believing anything

    You can find more info here.