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.
(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:
"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:
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 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.