I just received notice that the March08 YM contract rolls over on Thursday, March 13 to the June contract. My question is this: The last time I rolled over the YM contract ( I guess it was sometime in Dec. ) I noticed there was significantly more volume on the old contract than the new front month, as it played out to expiry. I didn't pay attention to how many more days it lasted as I was fixated on the new one, so can any one shed some light on as to when I (or any futures trader) should actively trade the new contract? And, can one continue to trade the old contract and for how long. TIA
By mid day tommorow June will have equal volume, Friday June will be more active. You should not trade March past first notice day, many brokers will not allow you to trade March past Friday except for closing trades. 3/20 is the last trade date for MAR08. http://www.cmegroup.com/trading/equity-index/us-index/e-mini-dow_FO.html
The analysis that I did shows that the two contracts will have roughly the same volume up until 9:30 ET at which point the volume in the old (expiring) contract will tail off and the new contract will have significantly better prices. Basically, if you're opening a new position at any time tomorrow morning that you intend to hold for more than a few minutes of scalp then you should be using the new contract. i.e. if you intend to close the contract after 9:30am switch to new.
If you mean the T&S, there should be a way to select the new contract from the instrument list in the property dialogue box with whatever platform you are using.
Sorry, what I mean is the @YM (for the Dow eminis) symbol automatically rolls over for you, so you never have to think about it, I just want to know when it does it.
YMH08 Volume = 64,482 YMM08 Volume = 263,540 Any particular reason you DO NOT trade the "front month"? surdo