When is "roll over" Thursday?

Discussion in 'Trading' started by high99, Dec 8, 2002.

  1. high99

    high99

    Is it this Thursday, December 12th, or
    next week, December 19th?
     
  2. I would be more interested in learning why it is this Thursday and not a day earlier or a day later.

    Or why the futures expire quarterly, not monthly or yearly.

    Or why they expire in the week of the third friday.

    Does anyone know?
     
  3. Rollover is the 12th.:D
     
  4. dottom

    dottom

    Rollover is the 12th. The general rule is traders switch over to next contract on the 2nd Thursday before the 3rd Friday of month of expiration. In other words, switch over 8 calendar days before expiration. Expiration for Dec SP contract is the 20th.

    Also, here is an expiration calendar:

    http://www.cme.com/httpwrapper.cfm?...S.htm&beginAfterRE=<body>&endBeforeRE=</body>

    P.S. If you use mechanical trading method, here's a tip. I keep a 10-day MA of the volume for the first 10 minutes. Whenever the volume for first 10 days trades above or below Keltner bands I popup an alert. When below the lower band, this rule alerts me in advance of low trading volume (maybe there is a major report due, or it's pre-holiday volume, or my contract has switched over to next active... and I didn't catch one of these things). When it is above the band, I double check for any major news events that may trigger excessive volatility.