Basically it's a liquidity thing. For the day trader more volume means better fills, closer spreads etc. Today I traded the Z contracts because it had 2x the volume as the H4's but tomorrow it'll probably reverse.
Fixed my original posts - thanks tiddywinks. That's what happens when you abbreviate without thinking. New front month is H4 (March 2014)
It's purely volume. You want to be trading the contract with the highest volume so that you get the tightest spreads and best entries and exits.
That chart that I did in 2005 shows how the volume switches at 9:30am on rollover day (today) and that was true I'd say until a year ago. Does anybody know why that has shifted to about a day later now?