Interesting to know - thanks 5yr. I wonder what the reward vs effort is in refining this sort of technique? Because it only happens 4 times a year it seems that you could spend a lot of time developing a winning strategy for those days but it would have to be an exceptional strategy to justify the time spent in perfecting it for just 4 days a year. If it's true arb without risk then you can obviously throw a lot of money at it if the market has the volume to handle it and it might then be worth it. Does the increase in participation of arb traders make a market more or less volatile? I would argue that it makes it more volatile if too many arb players are trading because the market would be constantly overshooting from side to side bringing in arbs playing the opposite side. However, I would argue that it smooths out the market if a good balance of arbs keep all the markets in line with each other - which is essentially what the arbs do.
Don't forget that eventhough its rollover day for the Emini Futures... There's other important things on the plate that will have more of an impact on whether its choppy, ranging or trending. Today: * Jobless Claims 0830am est * Wholesale Trade 10am est * Treasury Budget 2pm est Simply, as a retail trader, don't get caught flat footed thinking the market will do something just because its rollover day. However, if someone is going to consider trying to exploit rollover days and being aggressive... I would take a look at Eurex Derivatives when they have their rollover days. NihabaAshi
I completely agree NihabaAshi. I ignore the fact that it's a rollover except to change the symbol that I'm trading. When does Eurex roll its equity indices?
guy2, You can find that info for the Eurex Index Derivatives at this link... http://www.eurexchange.com For the Euronext Index Futures (CAC-40 and FTSE-100)... http://www.euronext.com NihabaAshi
I'll have to show my ignorance here a little bit. I don't normally carry contracts over, but this time I probably will. Is there a better way to "roll over" than just selling the March and buying the June? I guess you lose the spread and commission in order to roll over. Any suggestions on the best way to do this? Thanks for any help.
I am short a particular stock using the March SSF. However it seems that the stock is not trading in the March or April SSF. Is ONE open today?
Giving this a bump. Also, how important is it to roll over today instead of later? What about just letting the future "expire"? Thanks for any help.
You can let it expire but that means that it will cash settle at the settlement price on expirey. However, this probably doesn't fit into your trading strategy and the reason that you're in this trade. Think about why you are in this position: It's obviously a swing position and you should have a target and some sort of trailing stop. IMO you should ignore the fact that the futures are about to expire and stick to your strategy. This means that you should rollover the contract and pay a few ticks for the priveledge of doing so but it's much more important that you stick to your trading plan and not be influenced by rollover. I've updated the rollover page on the web and it now shows a chart between 09:00 and 10:00 EST today and shows the volume changing from one contract to the other in the ES.