[ricky]

Okay guys I am a bit confused maybe someone can clear this up for me.

I understand emini contracts expire on the 3rd Friday of every expiry month (March, June, September, December)

Rollover usually occurs 8 days before this so that means for example this time the 3rd Friday of the month occurs on Sept 17, 2010. Rollover would be Sept 9, 2010? So Sept 8 we would trade the 09/10 contract and Sept 9 we would trade the 12/10 contract?


Help appreciated!

[mktwzrd]

Originally Posted by ricky »

Okay guys I am a bit confused maybe someone can clear this up for me.

I understand emini contracts expire on the 3rd Friday of every expiry month (March, June, September, December)

Rollover usually occurs 8 days before this so that means for example this time the 3rd Friday of the month occurs on Sept 17, 2010. Rollover would be Sept 9, 2010? So Sept 8 we would trade the 09/10 contract and Sept 9 we would trade the 12/10 contract?


Help appreciated!

Quick Facts about Rollover Day

The following applies to many (if not most) futures contracts especially those from the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT).

•Rollover is 8 days before expiration.
•Expiration is the third Friday of each quarter month (March, June, September, December)
•The contract letter associated with each month is: March=H June=M September=U December=Z
•Rollover is on a Thursday.
•Rollover is usually on the second Thursday of the month but will be on the first Thursday if the first day of the month falls on a Friday
•Volume shifts to the new contract at market open (09:30 EST) on Rollover day
•New day trading or swing trading positions opened on rollover day should use the new contract month irrespective of when you plan to close it.
•New swing positions might be better opened using the new contract if opened within a few days of rollover day.
•Market myths abound at rollover and expiration. Check the source and confirm the probabilities before believing anything

[brownsfan019]

The quick and easy response is watch the volume and as soon as the new contract has more volume, make the move.

ALWAYS TRADE THE CONTRACT WITH THE HIGHEST VOLUME.

Simple, easy and you can never go wrong.

[LS_Chad]

This page discusses rules governing rollover (I think most of these have been covered above): Investor/RT - Answers* (LinnSoft.com)

This page discusses accounting for the gap created by rollover on continuous contracts: Investor/RT - Answers* (LinnSoft.com)

[ted]

Originally Posted by mktwzrd »

Quick Facts about Rollover Day

The following applies to many (if not most) futures contracts especially those from the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT).

•Rollover is 8 days before expiration.
•Expiration is the third Friday of each quarter month (March, June, September, December)
•The contract letter associated with each month is: March=H June=M September=U December=Z
•Rollover is on a Thursday.
•Rollover is usually on the second Thursday of the month but will be on the first Thursday if the first day of the month falls on a Friday
•Volume shifts to the new contract at market open (09:30 EST) on Rollover day
•New day trading or swing trading positions opened on rollover day should use the new contract month irrespective of when you plan to close it.
•New swing positions might be better opened using the new contract if opened within a few days of rollover day.
•Market myths abound at rollover and expiration. Check the source and confirm the probabilities before believing anything

Good response regarding rollover day. For your information, the same procedures and days for rollover also apply to the Russell futures contracts that trade on ICE. For more info on trading Russell visit www.theice.com.