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DX Rollover Day?
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DX Rollover Day?

  #1 (permalink)
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DX Rollover Day?

What day do we roll over the DX? I have been told three different days. Today, tomorrow and the 20th. I know its not today because the data was incorrect. Anyone know FOR SURE?

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last trade date is same as ES etc 3.16.2012 (-8 = today)


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.

FAQ - General Information on Futures Rollover CME CBOT

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Last edited by GridKing; March 8th, 2012 at 01:14 PM.
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https://www.theice.com/marketdata/calendar/CalendarList.shtml?markets=ICE%20Futu...true&expirationDates=LTD

"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
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Answer
This post has been selected as an answer to the original posters question Answer

@GridKing: Your answer is not correct.

(1) There is a difference between last trade day, first notice day and rollover day.

(2) DX does not roll at the same date as ES

So let me try to give a complete answer. For some futures contracts there are "official" rollover dates, which are observed by everybody. For others, in particular for physical commodities, there are no official rollover dates. but traders use volume crossover, open interest cross over to determine the optimum rollover date.

CME Index Futures

For index futures there is an official rollover date which is today. The source is here:

http://www.cmegroup.com/trading/equity-index/files/Rollover_Dates.pdf

"The Rollover date is generally defined as eight calendar days before a contract expires for most of
our equity index futures contracts. This date differs slightly for Nikkei 225 contracts, as the rollover
date has historically been the Monday before expiration."


CME Currency Futures

Currency Futures have a different expiry date than index futures. CME Index Futures expire on the 3rd Friday of the contract month (source: contract specifications). CME Currency Futures expire on the second business preceding the third Wednesday of the contract month.

The official quarterly rolldates for currency futures are listed here:

FX Quarterly Roll Dates

The official roll date for currency futures would therefore be next Monday, which is March 12. The official roll dates mostly fall on a Monday. Exception is made when the Monday is a holiday, in that case the official roll date is a Friday.

The problem with official roll dates for currency futures seems to be that everybody ignores them. Let us have a look at the last year and compare official roll dates and volume cross over (first with higher liquidity for the new front month)

6E 06-11: Rolldate 03/07/2011 Volume Crossover 03/11/2011 (Friday)
6E 09-11: Rolldate 06/06/2011 Volume Crossover 06/10/2011 (Friday)
6E 12-11: Rolldate 09/12/2011 Volume Crossover 09/15/2011 (Thursday)
6E 03-12: Rolldate 12/12/2011 Volume Crossover 12/16/2011 (Friday)

So it is not difficult to predict that the currency futures will roll on Thursday or Friday next week, which 3 to 4 days after the official roll date.

DX (ICE-NYBOT)

DX is similar to a currency future, but it is traded at ICE. The expiry date is the same as for CME currency futures. Although there are no official roll dates, DX follows all other currency futures.

In particular, if you look at volume crossover you will notice that liquidity usually shifts to the new contract at the same date as it does for CME currency futures.

DX 06-11: Volume Crossover 03/11/2011 (Friday)
DX 09-11: Volume Crossover 06/10/2011 (Friday)
DX 12-11: Volume Crossover 09/16/2011 (Friday)
DX 03-12: Volume Crossover 12/16/2011 (Friday)

Starting from here, the correct roll date for DX would be Thursday or Friday next week, but certainly not today.

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GridKing View Post
last trade date is same as ES etc 3.16.2012 (-8 = today)


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.

FAQ - General Information on Futures Rollover CME CBOT

Never trust a source which has no legitimation. The only correct source for CME rollover dates is the website of CME and not any information distributed by a dubious website.

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Fat Tails View Post
Never trust a source which has no legitimation. The only correct source for CME rollover dates is the website of CME and not any information distributed by a dubious website.

@Fat Tails

So which TF contract is to be traded today, March 8, 2012, TF 3-12 or TF 6-12?

Last Trade Day for March is 3-16.

Does that mean you trade TF 6-12 today or tomorrow?

Do you switch contracts the evening before the Rollover date or the evening of the Rollover date?

Seriously, I can never remember all the dates so I switch when the volume changes.

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or when I read a post and someone mentions the Rollover date.

I'm just a simple man trading a simple plan.

My daddy always said, "Every day above ground is a good day!"
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Fat Tails View Post
Never trust a source which has no legitimation. The only correct source for CME rollover dates is the website of CME and not any information distributed by a dubious website.

actually I checked my quoteboard to confirm last trade date as for Mar DX 3.16 12 am / exp being mar coming from CTS /"NYBOT"/ICE I believe that is correct date

I posted the additional general info because I thought others might find it useful, there are many who never heard of rollover

as far as rollover for DX , I thought it was just symbolic since it is an illiquid market , should have been more clear


but don't see anything that is "incorrect"

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Last edited by GridKing; March 8th, 2012 at 03:56 PM.
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ThatManFromTexas View Post
@Fat Tails

So which TF contract is to be traded today, March 8, 2012, TF 3-12 or TF 6-12?

Last Trade Day for March is 3-16.

Does that mean you trade TF 6-12 today or tomorrow?

Do you switch contracts the evening before the Rollover date or the evening of the Rollover date?

@ThatManFromTexas:

Rollover date means that is the latest day to exit any position in the old contract month. If you enter a new position you would definitely chose the new front month contract.

It is not forbidden to roll any position to the new contract prior to rollover day, if there is sufficient liquidity.

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GridKing View Post
but don't see anything that is "incorrect"

Sorry, I am sometimes outspoken and love to argue.....


GridKing View Post
last trade date is same as ES etc 3.16.2012 (-8 = today)

Settlement for DX is Wednesday, 03/21/2012, last trading is Monday, 03/19/2012. The response for the rollover date did not match the question, as it was not a response for DX but for ES.

The front month of DX has about 25,000 trades per day. This is less than the top 20 futures contracts, but not illiquid. You can trade it, although it is certainly not suited for scalpers.

Beg you pardon for my comments.

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