Quoting myself from another thread. There used to be an edge, and the CTA I linked to make very decent money exploiting that. I don't have access to IASG, but based on what I could see the strategy is no longer being traded - I have read elsewhere that ETFs discovered they were being exploited. If you hold longer term positions, I would advise rolling earlier. If you daytrade, then there may still be some effect, but I suspect most ETFs and LTTF funds now roll their contracts earlier and spread the process out a lot which will reduce the dislocation between the current month and the next month contract.
The following user says Thank You to grausch for this post:
the spread as it is listed on the exchange is extremely liquid, like 100k up. so it wont move much. of course if you want to get fancy you can try and leg it to save a tick but you leave yourself open the getting legged up and getting a worse fill.
I've played with this a few times, not worth it in my opinion. Remember, the spread between the ES contracts moves, but the ultimate convergence is between that last front month contract and the cash index. So, something built out of the futures and the cash is what I was messing with and it just didn't seem worth it to me. But, like I said, my opinion only.