For the e-mini contracts (ES, NQ), when should one switch from trading the nearby contract to the next one? When does the volume of the nearby contract fall below the volume of the next one? Does this typically happen well before the last trade date for the nearby contract?
Rollover date in the pit is "Thursday of the week before expiration". Therefore, Dec expiration on 20th... Rollover is 12th.
Its that time again. For index futures you roll over to the new contract one week before the last trading day. If you go to the CME website is says the LTD for the emini S&P futures is Friday, Dec 20 (the third friday of the month). This might imply that the rollover is Fri., Dec 13. However the emini actually rolls over the same day as the large, pit traded contract. Which would be Thursday (Dec 12). The confusion comes in if you look at volume for the daily bars on something like esignal. It may appear that the rollover is really Friday, but esignal reports the daily volume as Prior Session volume NOT same session volume. So you are getting Thursday's volume on the Friday bar. You can verify this by examining volume reports from the CME at: The data is hard to get to unless you pay for their stupid e-history application which I am not about to do. for the contract calendar: http://www.cme.com/risk_management/clearing_house/product_calendar.cfm
there's an explanation at this link of when to switch: http://www.futurestradingsecrets.com/eminiSP.html