Quick Facts about Rollover Day

MrPaul · #1 12-02-2006, 11:46 AM

From Day Trading Forum - Rollover - Quick Facts & FAQs

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.

* Rollover Days and Volume

Reaver · #2 12-04-2006, 08:14 PM

Thanks for the info.

By the way, Mr Paul, what are your thoughts on mypivots.com? I read some of the info and I like the ideas they present, but do you have any experience direct or otherwise with the software, etc they offer?

Thanks!

MrPaul · #3 12-04-2006, 08:54 PM

Originally Posted by Reaver

Thanks for the info.

By the way, Mr Paul, what are your thoughts on mypivots.com? I read some of the info and I like the ideas they present, but do you have any experience direct or otherwise with the software, etc they offer?

Thanks!

Reaver,

I haven't used any software offered on their site. All I know is it's a great place to get pivot levels on the fly!

Reaver · #4 12-04-2006, 08:56 PM

Cool, Thanks Mr Paul. Have a good one brother.

rwalkerx · #5 12-05-2006, 08:25 PM

very helpful!! thanks. I was just talking to someone about rollover a few minutes ago

*Soultrader* · #6 12-05-2006, 08:51 PM

Thanks for the info MrPaul. I made this thread into a sticky so people can keep an eye on it.

Kiwi · #7 12-05-2006, 09:22 PM

I would note a few things in addition to the valuable information at the top:

1) Non US rollovers are often different. Last trading day of the (monthly) HSI futures contract is the day before the last business day of the month. Volume almost always stays with the front month until the morning of the last trading day so you trade December right up to opening on the day before the last business day of December - 28/12/2006

2) Most longer term futures traders rollover when volume moves from the current front month to the new one. This day is often not the same day as the day that the exchange forces rollover --- you just watch volume and when you see its now higher you move. This is made more complex if your volume reporting is 1 day late :-)

3) If you change the rollover dates from the ones you tested your system on you will be surprised how huge the change in profitability can be!