There are no official roll dates. You can use open interest or volume crossover or whatever you like. Brokers tend to prefer early dates in order to make sure that they do not have to close out the positions of their unsuspecting customers (to prevent delivery ).
For example for FGBL volume shifted to the new contract on the last trade date, which is December 6, but the Mirus calendar shows December 5 as the roll date. I a similar way they may show an early roll date for 6E.
The following 2 users say Thank You to Fat Tails for this post:
It could be interpreted that the ES globex front-month contract shifts on Thursday evening (Friday's trading day). It says:
It is clear that the pit contract becomes front month on Thursday at 8:30am CT. But for the globex, it is not as clear. After mentioning Thursday, it then says "the CME Globex session beginning that evening... will list the Mar 2013 contract." .... The volume is only greater for Friday's trade date, but IQFeed and others roll on Wednesday evening, starting at the Thursday globex trade date. IQFeed confirmed this, but to me the description is ambiguous. I emailed the CME and their answer was equally ambiguous.
Any thoughts on this?
The following user says Thank You to josh for this post:
@josh: If we talk about rolling, we talk about two different things:
(1) the question at what point we wish to merge single contracts to obtain a backadjusted contract
(2) the question at what point we wish to roll our positions
For (1) a harmonization is a good thing, as it allows all traders to have similar charts. For (2) there is no harmonization necessary, as it is an individual decision, when to roll an existing position.
For example, if you look at ES, volume shifted to the new contract on Friday, while open interest of the new contract exceeded the open interest of the old contract for the first time on Tuesday. This shows that many of the position and swing traders rolled their positions after rollover date.
For commodity futures it can be dangerous to roll later than rollover day, as delivery constraints can lead to a high volatility in the old contract. However, for index futures and in particular for currency futures there is no risk. As I said before, the roll dates published by CME for currency futures are completely ignored.
use simple rules to create mergebackadjusted contracts. For currency futures they simply take the 8th day of the delivery month. This ignores volume and open interest, but as I have shown above, for currency futures the error made by selecting a different rollover date is a few pips.
I think that we have to accept that there are no rules imposed by anybody. Most of the data vendors, however, roll index futures on Wednesday evening, so that is what I am doing.
The following 6 users say Thank You to Fat Tails for this post: