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@ES vs ESU20 price difference


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@ES vs ESU20 price difference

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  #1 (permalink)
New York, NY
 
 
Posts: 10 since Aug 2020
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Hi all... apologies if this is an uber noob question... but can anyone tell me why there is a ~10 point differential between the continuous ES contract (@ES) and the current (Sept) contract @esu20 at the moment?

I use the @ES on some charts when looking back for longer term historical data...

TIA

-Lee

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  #2 (permalink)
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leescharf View Post
Hi all... apologies if this is an uber noob question... but can anyone tell me why there is a ~10 point differential between the continuous ES contract (@ES) and the current (Sept) contract @esu20 at the moment?

I use the @ES on some charts when looking back for longer term historical data...

TIA

-Lee

This thread deals with continuous, backadjusted, etc. contracts. It's not applied to the ES but concept is the same.



Does that help?

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  #3 (permalink)
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leescharf View Post
Hi all... apologies if this is an uber noob question... but can anyone tell me why there is a ~10 point differential between the continuous ES contract (@ES) and the current (Sept) contract @esu20 at the moment?

I use the @ES on some charts when looking back for longer term historical data...

TIA

-Lee

ES rolled to the Dec contract and your continuous contract shows you the data from this contract, the Sept contract expires on Friday @ the cash open, so no need to watch the Sept contract anymore.

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leescharf View Post
Hi all... apologies if this is an uber noob question... but can anyone tell me why there is a ~10 point differential between the continuous ES contract (@ES) and the current (Sept) contract @esu20 at the moment?

I use the @ES on some charts when looking back for longer term historical data...

TIA

-Lee


tr8er View Post
ES rolled to the Dec contract and your continuous contract shows you the data from this contract, the Sept contract expires on Friday @ the cash open, so no need to watch the Sept contract anymore.

@tr8er is correct. To amplify, the ESU20 is no longer the "front month." The front month contract rolled over to December (ESZ20) on Thursday of last week, Sept. 10, and the September (ESU20) will go out of existence on expiration, Sept. 18. So your continuous contract now shows the December contract price, and the past values are usually back-adjusted to match up to the December contract.

There is actually no such contract as "@ES." This is the notation used by your trade platform or data service (looks like TOS, if I remember correctly, but may be something else) to indicate the current front month, with the prior months tacked on behind, to make an artificial "continuous" contract that appears to have always been in existence.

You can still trade the U20 until expiration if you wish, but the volume will get thinner and thinner as traders abandon it. (Well, actually your broker won't be letting you trade it too close to expiration, unless you aim to settle it, which you don't . )

Some traders always take the Thursday-before-expiration rollover date, while others may wait for the volume to shift to the next contract, which generally happens the next day.

For more from the exchange on rollovers: https://www.cmegroup.com/trading/equity-index/rolldates.html

You can check the current volume on the Sept and Dec contracts here. Currently, the December is leading in volume, which will only increase: https://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_globex.html

The post cited by @xplorer above goes into the construction of continuous contracts in more detail if you're interested.

Bob.

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  #5 (permalink)
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Very much appreciated... makes perfect sense. Thanks again!

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