Our statements are not mutually exclusive, dude... The particular day you're referring to is the last trading day before the first delivery date. My point is that what you're saying (symptom) follows from the hard exchange delivery rules that I am talking about (root cause).
As a TRADER (caps yours), I like to think about the roll, as opposed to doing it on a specific date. The roll is a TRADE (caps mine), which can get quite volatile, so I would do it when it is likely, in my view, to make me money. I would never do anything as silly as always rolling on a specific date pre-determined in advance. Now, there are several inputs into the decision-making process, such as repo on the two CTDs, the open interest, etc, but that's a discussion for another day.
The reason the volume rolled over is because May 29th was first notice day. Anyone holding a position in June after first notice day could be forced to accept delivery. So there are hard and fast rules. Equities roll on the third thursday of the contract month, unless there is a holiday. Check the exchange websites, you should always know when first notice day and expiration is and roll before that. 5yr
If you are trading 1-10 lots and don't care about slippage on fills then it isn't an issue, However, if you are moving size then good luck. The ZF verticals are 1.5 ticks wide right now with no depth. Trying moving size with a spread like that. Anyway, good trading to you.
To Herr Von Mises: Agree with you, amico... Good luck to you also. To 5Yr: You will note that I said that there are no hard and fast rules while specifically mentioning the delivery consideration. However, to me delivery does not constitute a hard rule (I'm institutional), since I have no issues taking delivery of cash bonds. Just trying to present a complete picture for the OP.
Martinghoul, You are right, I just read your first post, you did mention delivery. Congrats to having the capital to take delivery, I for one do not, so I am sure to roll before first notice day. You made a very good point when you mentioned that people should think of the rolls as trades. It can make a huge difference, eg The first couple crude oil rolls at the beginning of this year. 5yr
Yep, indeed, it does get quite interesting... In US futures it hasn't been too exciting of late, but there's been all sorts of shenanigans in GBP and EUR (esp the gilt).