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ESU4 Vs. ESZ4 (rollover)
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ESU4 Vs. ESZ4 (rollover)

  #1 (permalink)
Elite Member
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ESU4 Vs. ESZ4 (rollover)

I notice that price level on the ESZ4 is 9 points lower than the ESU4. THe volume on the Z is greater. THe action seems to be identical on both.
Should I be trading the Z rather than the U?
Are there unique oppurtunities/dangers during rollover?
I am a begginer and this is my first rollover.
Could someone please offer some veteran guidance?
Thankyou!

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  #3 (permalink)
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For index futures there are official rollover dates. The rollover day for ES was Thursday. September 11. This means that on Thursday you should have closed all open positions for the old front month ESU4 and then open new positions for ESZ4 accordingly.

Rolldates for CME traded equity index futures can be found here:

http://www.cmegroup.com/trading/equity-index/rolldates.html


You are asking about opportunities close to roll dates. Usually there are no opportunities awaiting you, but the danger that some markets become unpredictable. This is particular the case for physical commodities for which there is physical delivery, if the old contract is not closed out. Some participants may not be able to deliver and there can be a squeeze.

For financial futures (index futures, interest rate futures and currency futures) rollover dates have little impact on market prices. You will rather see increased volatility during the triple witching hour, when index futures, index options and stock options expire. Triple witching comes 8 days after the rollover day. The rollover day should be the 2nd Thursday of every 3rd month (1st Thursday if the month starts with a Friday), while the triple witching is on the 3rd Friday.

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Thanks! I was under the impression that one would trade the U until expiration this Friday. Now I know.
Just out of curiosity why are people still trading the U? By unique oppurtunities I was reffering to trading the difference between the Z and the U during the period between rollover and expiration.

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I just read the CME link and that shed more light.
I'm assuming the only reason that I could still take posistions on the U was because I was in DEMO....
Thanks again!

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bourgeois pig View Post
Thanks! I was under the impression that one would trade the U until expiration this Friday. Now I know.
Just out of curiosity why are people still trading the U? By unique oppurtunities I was reffering to trading the difference between the Z and the U during the period between rollover and expiration.

You can still trade it, if the liquidity is sufficient. Then there are market participants who have not yet rolled, and there are also spread traders who buy one month and sell the other month.

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Is the volatility caused by the move from the U to the Z more prevalant during the rollover or the witching? Or throughout the week in between?

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bourgeois pig View Post
Is the volatility caused by the move from the U to the Z more prevalant during the rollover or the witching? Or throughout the week in between?

Volatility is related to the contract expiry, as some market player need to cover open positions and others try to influence option prices in a way that the options expire worthless.

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