I could be wrong but I believe that rollover day is 8 days before expiry which is 3rd Fri of each quarter month.
Thursday at the market open (9:30am ET) the volume switches to the Z5 contracts. Just keep both U and Z on your screen and watch it happen.
A bit like this Tech Analysis This chart shows how the average volume (averaged per minute over 5 minutes) switches from the current to the next contract in the ES on the rollover day. In this chart we see the switch from the March 2005 to June 2005 contracts.
Nice chart, guy. We oughta pin the chart to the top of ET's message boards; it seems like we have this discussion every 3 months
Don't forget to rollover your emini (and other) symbols tonight for tomorrow!! Both charting AND trading platform.
i never ever remember rollover day until my charts/volume get a bit sluggish . so this morning i opened up ib and it asked me: do you want to roll over your contracts now you fool? and i said meekly: okie dokie. and so i'm set until march06. love ib just for the little details
Way back in the past when I was young I'd update the contracts on the charting platform and not on the trading platform and then for the rest of the day think that one was lagging the other.