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If i look at this product Calendar which dates are the important ones for me to be considering when to "roll over" to the next months contract? Is it the Settlement/last trade one? As described it would make a lot of sense: "Trading in the current delivery month shall cease on the third business day prior to the twenty-fifth calendar day of the month preceding the delivery month. If the twenty-fifth calendar day of the month is a non-business day, trading shall cease on the third business day prior to the last business day preceding the twenty-fifth calendar day. In the event that the official Exchange holiday schedule changes subsequent to the listing of a Crude Oil futures, the originally listed expiration date shall remain in effect. In the event that the originally listed expiration day is declared a holiday, expiration will move to the business day immediately prior."
Although on a lot of other sites it says the rollover occurs much earlier. So im slightly confused =/
Can you help answer these questions from other members on NexusFi?
Determining a rollover date is relatively simple. You want to roll on the day, when liquidity (number of contracts traded per day) has shifted to the new front month contract.
Of course you can look up all those official calendars, and you will find
-> a last trading date
-> an expiry date
-> a first position date
-> a first notice date
All these dates are only interesting in so far, as you want to make sure that you roll
-> prior to the last trading date
-> prior to the expiry date
-> prior to the first position date
-> prior to the first notice date
After all you don't want to deliver crude oil or get delivered in Cushing Oklahoma, or did you already rent the storage space?
For some futures the first notice date (and this is important) is nearly 1 month prior to expiry. For example the first notice data for the June gold contract GC 06-12 is on May 31, while the last trade date is on June 27. This means that you have to roll your gold future prior to May 31, that is latest on May 30. And now you know, why the trading volume for GC will shift to the new contract prior to May 31, although the old contract is still tradeable until end of June.
For oil, you also want to roll your position prior to those four dates. The earliest of the four dates is the last trading date - in case of crude oil the first notice date comes after the expiry of the conctract - and the last trade date for the May contract is on April 20.
Crude oil is a special case, as the delivery depot for the NYMEX WTI contract is in Cushing, Oklahoma. This is an inland pipeline depot, where you cannot easily delivery any product. This somewhat difficult situation leads to higher volatility in the old front month contract during the days prior to expiry. You should therefore roll a few days prior to expiry and not just on the last trading day.
A rule of thumb lets you roll three business days prior to the last trading date.
@revtrader: "Last Date" is the last working day prior to volume crossover. I used the settlement prices to calculate the offsets, but if you calculate them from the close, they will be similar.
Quick question, the current crude contract is the October contract, and the rollover is supposed to happen three days prior to the 25th of the previous month, or in the case the 20th of September.
When would you roll over to the November contract?
"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
For CL I use volume rollover. Today (September 18) volume for the new contract was 196,192, volume for the old contract was 176,039. This means that volume will switch to the new contract tomorrow.
September 19 is therefore my rollover date, which means that already now - as the trading day of September 19 has already started - my chart is displaying the new contract.
I seem to be getting some strange numbers on multiple feeds. My TOS says 181k for Oct, and 165k for Nov. My Rithmic/Sierra says 165k on both, though I know something isn't right here, as the Oct seems to be showing the Nov price/ohlc as well, like it has already rolled over, but without changing the symbol.
Interactive Brokers shows 135k for Oct and 111k for Nov. It really depends on which volume is included. In any case you have to compare unmerged individual contracts, and not a merged or continuous contract, which is probably the case with your Sierra Chart figures.
In my post above I had used volume, as published by the exchange.
