When do we switch to June contract?

Discussion in 'Index Futures' started by BloodTrader, Mar 8, 2004.

  1. ertrader1

    ertrader1 Guest

    Bright and T-dog rollover on the same thursdays......Im just being like BUSH and trying to cause Mis-information.

    I actually wait up till a few days before actual rollover before i switch...
     
    #21     Mar 8, 2004
  2. saxon

    saxon

    If you honestly think that the MAR ES is going to be "illiquid" on Monday the 15th, well...spare us your expertise.

    saxon
     
    #22     Mar 8, 2004
  3. Jesus, this is further evidence that the longer a thread goes on, the more inane it gets. Christ.
     
    #23     Mar 8, 2004
  4. Diode

    Diode

    Saxon, sometimes you just need to admit that you're wrong and move on. Getting the facts straight on details that affect your livelihood is not being a weenie.

    As has been stated by at least four people above, the roll date is the trading day preceding the second Friday of the expiration month, which in practice is always a Thursday since there are no market holidays that fall on the first or second Thursday of Mar/Jun/Sep/Dec. (This is not to be confused with the last trade date which is the third Friday.)

    Here are the active dates for equity E-mini contracts (ES/NQ/ER) for the 2003 and 2004 contracts:

    ESH3 12/12/2002 - 3/12/2003
    ESM3 3/13/2003 - 6/11/2003
    ESU3 6/12/2003 - 9/10/2003
    ESZ3 9/11/2003 - 12/10/2003
    ES4H 12/11/2003 - 3/10/2004
    ES4M 3/11/2004 - 6/9/2004
    ES4U 6/10/2004 - 9/8/2004
    ES4Z 9/9/2004 - 12/8/2004

    Here's an illustration of how much the liquidity changes at rollover, looking back one year at the ESH3/ESM3 rollover. This is the volume in the ESH3 contract between 9:30:00 and 9:34:59 for each day.

    Mon 3/10/2003 10594
    Tue 3/11/2003 12489
    Wed 3/12/2003 17125
    Thu 3/13/2003 5199
    Fri 3/14/2003 1670
    Mon 3/17/2003 810

    (So Saxon is technically correct in that there will still be liquidity in ESH4 on Mon 3/15/2004, but it will most likely be about an order of magnitude less than the liquidity in the new front month.)
     
    #24     Mar 8, 2004
  5. saxon

    saxon

    Bottom line:

    Unless you are rolling a HUGE position (like 1000 contracts or more), the Monday before expiration is just as good a day to roll as the preceding Thursday. It really makes no difference at all.

    I am guessing that the original poster does not carry 1000-lot position trades in the ES; so for his purposes, there would be absolutely nothing wrong with rolling on Monday the 15th. If, however, the original poster is a daytrader, then you guys have a point that you want to follow the volume, whenever and wherever it goes. I myself am a swing/position trader, so either day works for me.

    OK...??

    saxon
     
    #25     Mar 9, 2004
  6. Diode

    Diode

    Saxon,

    For my own trading style on the eminis, which is not high volume but fairly high frequency (generally a few dozen round trips per day) it's pretty important that I trade the most active contract. That's why I'm being so pedantic - I had to get these details straight when I was doing my backtesting.

    You may be correct about the impact (or lack thereof) on other trading styles; I won't argue it, as I haven't done the analysis.

    Très bien!
     
    #26     Mar 9, 2004
  7. i'm switching today
     
    #27     Mar 11, 2004
  8. Bsulli

    Bsulli

    If you use ES #F it started using ES M4 as of today.

    fwiw

    Good luck and Good trading!

    Bsulli:)
     
    #28     Mar 11, 2004
  9. Code:
    MTH/           ---- DAILY ----                      PT    EST   ---- PRIOR  DAY ----
    STRIKE  OPEN    HIGH      LOW     LAST     SETT     CHGE  VOL   SETT    VOL    INT
    
    MAR04 1120.25 1126.50  1104.50  1105.25B 1105.50   -1475  306K 1120.25 930475 595948
    JUN04 1119.50 1125.25  1103.25  1104.50  1104.25   -1500 1036K 1119.25  62494 169436
    TOTAL                                                EST.VOL      VOL  OPEN INT.
    TOTAL                                                  1342977     992969     765384
    
    Note how the volume has flip-flopped from yesterday's settlement to today between the March and June contracts. This volume shift is like clockwork every quarter.
     
    #29     Mar 11, 2004
  10. Code:
    e-mini s&p 500 futures
    settlement prices as of 03/12/04 07:00 pm (cst) 
    
    MTH/           ---- DAILY ----                      PT    EST   ---- PRIOR  DAY ----
    STRIKE  OPEN    HIGH      LOW     LAST     SETT     CHGE  VOL   SETT    VOL    INT
    
    MAR04 1105.75 1120.75  1102.25  1119.00  1119.25   +1375  119K 1105.50 306870 570982
    JUN04 1104.50 1119.75  1101.00  1118.50  1118.00   +1375  741K 1104.25  36107 263051
    TOTAL                                                EST.VOL      VOL  OPEN INT.
    TOTAL                                                   860693    1342977     834033
    
    
     
    #30     Mar 14, 2004