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Roll overs
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Roll overs

  #1 (permalink)
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Roll overs

Hello Everybody


As futures are rolling over these days and I a complete newbie.. My question is when is it safe for small traders to get back in after roll over especially in the cme futures currency contracts which rolls over on 9/9

Thanks

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  #3 (permalink)
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Probably the "safest" is when the last trading day of the contract is over on everyone is trading the new one. I haven't looked at all the different currencies but it looks like the 6E(euro) last trading day is actually the 19th so you want to be on the new one(dec) by the absolute latest monday morning. That being said you should probably just switch a couple of days prior and you'll be fine. I usually do that...some guys look at the volumes of the contracts and switch when they start to see greater volume on the new contract, that is a good way to do it. Also bear in mind all contracts don't expire on the same date so you might want to go to the CME site and check out the ones you trade to see the exact dates.

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  #4 (permalink)
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As kbit alluded to, just put up the two DOMs and you can easily see which is best to trade....


Last edited by Lornz; September 9th, 2011 at 02:42 PM.
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  #5 (permalink)
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thanks guys

I was actually asking about the 6E. It should roll over today. So starting next monday I will be watching the new contract (the front month) but I was wondering when it is safe to trade the new contract. I guess next monday won't be a good time for small traders. If you trade the 6E, when will you guys trade the new contract.

About the volume watching method. Where do I get the volume and what amount would conclude a decision. (other than dom watching as I am not able to watch the entire day)

I appreciate the help....

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  #6 (permalink)
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According to CME website last trading day for 6E is monday the 19th ...you could compare for example how many trades are in 15 minute bars on the different contracts or as Lornz suggested look at a dom and see some numbers there. The CME should list the volume at the end of each day on thier site if you want to check that. I would say you could safely trade the december(z) on thursday 15th if you want....I've never had a problem with the rollover period myself just switching a couple days away from the last trading day. Just keep trading september until then, you'll be ok

Here's a link for volume:http://www.cmegroup.com/trading/fx/g10/euro-fx.html


Last edited by kbit; September 9th, 2011 at 07:12 AM.
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Rollover Currency Futures


ginamady View Post
Hello Everybody


As futures are rolling over these days and I a complete newbie.. My question is when is it safe for small traders to get back in after roll over especially in the cme futures currency contracts which rolls over on 9/9

Thanks

There is very little risk involved in rolling currency futures. The FOREX market is much larger and arbitrage takes care of the rest.

Risky to roll are commodities, which require physical delivery. The old contract - the one which is linked to the physical delivery may suffer from desperate longs, who have not yet cleaned up the lawn in front of their house to receive all those bushels of wheat, or from shorts which have been squeezed, because they have forgotten to book the pipeline to Cushing, when the pumping schedule was made. For commodity futures, which are physically deliverable, you should therefore roll as early as possible, because the new front month is safer to trade. As early as possible means, as early as volume has picked up to allow for sufficient liquidity, even if the old front month is still leading.

For index futures there is a price risk linked to options expiry, so you may want to refrain yourself from trading on triple witching Fridays (third Friday of every third month).

For currency futures there is no risk linked to physical delivery nor options expiry, so you can trade whatever contract you like. Liquidity will typically shift to the new contract prior to the expiry date. Anyhow for financial futures it is best to roll on the official roll dates.

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ginamady View Post
Hello Everybody


As futures are rolling over these days and I a complete newbie.. My question is when is it safe for small traders to get back in after roll over especially in the cme futures currency contracts which rolls over on 9/9

Thanks

The best way to see which contract to trade is to put up 2 "Time & Sales" windows, one showing the 09/11 contract and one showing the 12/11 contract. In the top of the window you will see the total number of contracts being traded for each contract. When the number of contract for 12/11 is GREATER than the number of contracts for 09/11, this is the time to start trading the new contract times of 12/11

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Fat Tails View Post
For currency futures there is no risk linked to physical delivery nor options expiry, so you can trade whatever contract you like. Liquidity will typically shift to the new contract prior to the expiry date. Anyhow for financial futures it is best to roll on the official roll dates.

Hi FT,

Ninja Instrument manager has the 6E default rollover date as 12/9/2011. CME Contract specs has the last trading day as the 19th. Volume is still too low to roll over today (Monday 12th). Wonder if most are manually adjusting rollover to the volume shift which will be ending of this week. Thats what I usually do for the CL but you mentioned that for financial futures it is best to roll on the official roll dates. When do you roll this month on the 6E?

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neko333 View Post
Hi FT,

Ninja Instrument manager has the 6E default rollover date as 12/9/2011. CME Contract specs has the last trading day as the 19th. Volume is still too low to roll over today (Monday 12th). Wonder if most are manually adjusting rollover to the volume shift which will be ending of this week. Thats what I usually do for the CL but you mentioned that for financial futures it is best to roll on the official roll dates. When do you roll this month on the 6E?


(1)The NinjaTrader default settings are false, I have already communicated this to NinjaTrader support.

(2) Official roll date according to the website is Monday, December 12. However, most of the traders roll their positions later. Liquidity typically shifts to the new contract on Thursday or Friday. I will roll on Thursday or Friday, once there is enough liquidity in the new contract.

(3) For physical deliverable commodities there is a risk of increased volatility prior to contract expiry. This is not the case for currencies. The FOREX market is much larger compared to the market for currency futures and the expiry of the futures contract has little or no impact on the larger FOREX market.

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