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Rollover Days - some Quick Facts about

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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.
  • Market myths abound at rollover and expiration. Check the source and confirm the probabilities before believing anything

more infos you find here :
FAQ - General Information on Futures Rollover CME CBOT

https://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_product_calendar_futures.html

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There are many oil traders here, so let me say that CL does not usually switch until the third Thr. And remember, CL is monthly, not quarterly.

I usually add the next contract to Market Analyzer early in the month, and as we get closer to roll over day on oil, I just check the volume and move to the new one was volume has taken over.

Mike

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  #3 (permalink)
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Tip
One tip how to check and compare the volume of iE ES 12-09 and ES 03-10 in NinjaTrader :

Open Times and Sales (File - New - Time&Sales) 2 times and add as intruments ES 12-09 in the first + ES 03-10 in the second one.

then you can see the total tradet volume from the current day on top.
easy to see wich contract has more here. this one you trade best.


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Hi guys,

i really need help in built continouse contract.

i am really lost, i read many article, i see many data provider like esignal , zen fire, ib, but i am blocked at the first step.

I reag that the best way is about change in volume.

i am learning now into programming in c#, is there a way to built an indicator that merge
the data of zen-fire to built continouse contract of cme?

About database project are there news? I'd like try to help you.

regards

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  #5 (permalink)
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Great insight by Mike, if not to keep in mind that he advised a lot money could be lost, trading contract from which volume already switched to next, the same danger to switch to new contract before main volume switched to it.

Krgds,
Andrew


Big Mike View Post
There are many oil traders here, so let me say that CL does not usually switch until the third Thr. And remember, CL is monthly, not quarterly.

I usually add the next contract to Market Analyzer early in the month, and as we get closer to roll over day on oil, I just check the volume and move to the new one was volume has taken over.

Mike


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CME FX Futures:

Contract expiry on second business day preceding the third Wednesday of the contract month. Rollover 5 business days prior to expiration. Usually this is the Monday directly preceding the rollover day for index futures. If the contract month starts with a Thursday or Friday (not applicable in 2010), this may be the Monday after the rollover day for index futures. I have not checked this so far. Rollover days are fixed by the exchange and volume shifts to the new contract on rollover day.

Exceptions: The Canadian Dollar futures are rolled one day earlier.

https://www.cmegroup.com/trading/fx/rolldates.html

CME Interest Rate Futures:

These are rolled on first notice day, which is usually the last business day of the month preceding the contract month. The contracts expire about 3 weeks later. Volume shifts to the new contract on first notice day.

Question: If you still hold a long position of the old contract on first notice day, you are running the risk to be assigned to purchase the underlying by the clearing house. Has anybody tried this? Does your broker automatically roll or close your position to avoid this?

Gold futures:

Similar as interest rate futures. First notice day is usually during the last business days of the month preceding the contract month. So volume shifts to the new contract on first notice day. Liquid contracts are February, April, June, August, December. So you have to roll every two months.

Question: I have noticed that the October contract is illiquid. NT7 uses this contract for backadjusting contracts, which results in a false offset. Should not take offsets from illiquid contracts. Does anybody know, why October is illiquid?

Eurex Index Futures:

Last trading is the same as for CME index futures. For Eurex index futures rollover day is the last trading date, volume only shifts to the new contract on this date. Eurex index futures therefore roll on Friday 8 days after rollover date for US index futures.

Crude Oil Futures:

There is no specific rule for crude oil futures. First notice is after contract expiry, so it does not have any impact. Usually volume shifts between 2 and 4 business days prior to expiry.

The real problem here is that CL futures are physically settled with delivery in Cushing, Oklahoma. This is a pipeline storage in the middle of nowhere. So if you are short CL in the old contract on expiry, you may have to deliver but do not have enough helicopters to drop the crude in Cushing. The problem is that local prices in Cushing may not at all reflect world market prices, and the old contract often shows an erratic behaviour. This may create an extremely high volatiliy in the old contract, as either shorts are squeezed or longs are pillaged. The CL contract is an anachronism and NYMEX should long have allowed delivery into a port to avoid these price fluctuations.

I remember the headlines in all business newspapers from September 23, 2008. The headlines - even in the Financial Times - read that oil prices had risen by 16% on a single day. Of course spot prices had not risen that much , the November contract had shown a 6% increase, and the reported increase of 16% was just the mother of all short squeezes which occured on the front month. Probably it was just the pipeline to Cushing, which was broken, and shorts that did not know the spot market were trapped. Conclusion: No specific rules for CL, but do not trade the old contract in the week prior to expiry, if you do not understand the spot market.

Question: Does anybody remember that he had a short position for CL 10-08 on September 22, 2008 when crude made it from US-$ 104 (prior close) to an intraday high of US-$ 130?

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Here is an example for increased volatility of the front month of CL just prior to rollover dates. The data has been downloaded here:

NYMEX Futures Prices

I deducted front month prices from second month prices. Usually the difference will be positive. showing a contango market, but there are some exceptions, when the spot market in Cushing is short of product.

If you look at the chart you will find that volatiliy increases in the middle of the month, when contracts are rolled. Large funds such as United States Oil Funds (NYSE: USO) will possibly not roll their positions during the last days before expiry to avoid rollover losses. However, front month volatility is lower now than one year ago.

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Please find below a document from NADEX with various rollover dates for this year.

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Rollover Days - some Quick Facts about-futures-rollover-schedule-2010.pdf  
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This document shows what NADEX uses for their derivatives, but not all of the dates are in line with futures rollover dates. For example rollover dates for FDAX (DAX futures) are listed as 03/12/2010. Correct rollover would be one week later on 03/19/2010. Please cross-check any information that you get. If the listed dates do not match the shift in volume from the old to the new contract they are likely false.

Just wanted to add this, so nobody puts in any dates without prior verification.



Fat Tails View Post
Please find below a document from NADEX with various rollover dates for this year.


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Hello,

anybody knows what is the rollover rule for the Bund (FGBL)?

Un saludo,

Pablo

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flyscalper View Post
Hello,

anybody knows what is the rollover rule for the Bund (FGBL)?

Un saludo,

Pablo


It should roll 1 day prior to expiry. FGBL 12-10 expires on December 8, so you would roll on Tuesday, December 7.


You can also determine the rollover date via volume crossover. Volume should shift from the old to the new contract on Tuesday.

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Question: If you still hold a long position of the old contract on first notice day, you are running the risk to be assigned to purchase the underlying by the clearing house. Has anybody tried this? Does your broker automatically roll or close your position to avoid this?

My broker ups the margin to account for that to make sure you either trade the correct contract or have enough for delivery.

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Does anyone know of a website that lists all the near term contracts of futures instruments with the associated volume for each contract? I have found quote.com that shows this info for all futures, but does not have volume.

Quote.com U.S. Markets - Futures Quotes and Charts - Quote for CL

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Here you have all the futures markets with volume:

Barchart.com - Commodity Futures Market Overview

Un saludo,

Pablo

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So speculators must rollover to the next contract lest they get stuck with an actual delivery?

Those who actually need the delivery of barrels of oil will not rollover?

That makes trading futures kind of like hot potato right?

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futuresinvestor8 View Post
So speculators must rollover to the next contract lest they get stuck with an actual delivery?

Those who actually need the delivery of barrels of oil will not rollover?

That makes trading futures kind of like hot potato right?

Apparently so, unless your broker closes the position for you before contract expiry. See the answer from Fat Tails below:


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ive never had trouble rolling over contracts until recently and im not sure there is even a problem here but something looks fishy. is the 6E volume just really low today or what? i notice the rollover date for the 3-13 contract is 12/17/2012 but was set to 12/14/2012 in NT so i changed that and reloaded my historical data and it looks like nothing has really happened today. am i off my rocker here or what?


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@madLyfe:

6E traded a volume of around 204k contracts today so far.

Did you already take a look at the merge settings in your instrument manager ?


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Daytrader999 View Post
@madLyfe:

6E traded a volume of around 204k contracts today so far.

Did you already take a look at the merge settings in your instrument manager ?

Attachment 97638

ya i did.. these are my settings.. ive never really touched them..




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madLyfe View Post
ya i did.. these are my settings.. ive never really touched them..

Hmm, that sounds strange...you may try to change the Merge Policy parameter to 'DoNotMerge', this was also a Rollover problem on CL recently...

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Daytrader999 View Post
Hmm, that sounds strange...you may try to change the Merge Policy parameter to 'DoNotMerge', this was also a Rollover problem on CL recently...

well i did change this rollover date to the 17th from the 14th, should i change that back? or is the offset number off?


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madLyfe View Post
well i did change this rollover date to the 17th from the 14th, should i change that back? or is the offset number off?

Rollover date was 2012/12/13, last trade date was 2012/12/17...my settings show the same offset number, but date is the 14th.

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Daytrader999 View Post
Rollover date was 2012/12/13, last trade date was 2012/12/17...my settings show the same offset number, but date is the 14th.

well when i first noticed something wrong i went to barchart.com to look up the date and saw the 17th so i put that in in place of the 14th.. made it a little better but it got me what you saw above. well i just now switched it back to the 14th, reloaded data, and now its gotten worse lol..




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madLyfe View Post
well when i first noticed something wrong i went to barchart.com to look up the date and saw the 17th so i put that in in place of the 14th.. made it a little better but it got me what you saw above. well i just now switched it back to the 14th, reloaded data, and now its gotten worse lol..

Speaking of barchart.com, I wrote this indicator to get the contract front month with highest volume from the site, so I can Rollover all my contracts based on volume, instead of taxing NT with multiple contracts in market analyzer, and having to update the list in every month.


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monpere View Post
Speaking of barchart.com, I wrote this indicator to get the contract front month with highest volume from the site, so I can Rollover based on volume.


@monpere ya ive been using one like that called 'a1RolloverVolume.cs' is the one above an updated version?

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madLyfe View Post
@monpere ya ive been using one like that called 'a1RolloverVolume.cs' is the one above an updated version?

I believe so, I made a recent update, it is now called BarchartDotComVolume. I wrote a couple of these, one uses NT Market Analyzer, and one uses Barchart.com. I personally use the one that gets the data on demand from Barchart.com. I just have to push a button once a month around rollovever time.

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madLyfe View Post
well when i first noticed something wrong i went to barchart.com to look up the date and saw the 17th so i put that in in place of the 14th.. made it a little better but it got me what you saw above. well i just now switched it back to the 14th, reloaded data, and now its gotten worse lol..

Oops...

So, did you try to change the Merge policy to 'DoNotMerge' yet ?
This resolved the issues with CL Rollover recently.

And if that doesn't work too, maybe @Fat Tails can give a helping hand...

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Daytrader999 View Post
Oops...

So, did you try to change the Merge policy to 'DoNotMerge' yet ?

This resolved the issues with CL Rollover recently...

i have not yet because im not sure if its going to mess up my other charts/instruments as they are functioning properly(as far as i know lol)..

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The rollover story is not so easy.

(1) For index futures there are official rollover dates. Everything observes the date so there is no discussion required. The rollover date was Thursday, December 13 and the volume of index futures shifted to the new contract.

(2) For currency futures there are also quarterly roll dates published by the exchange, but they are ignored by everybody. You can find them via the link below:

FX Quarterly Roll Dates

The official roll date was Monday, December 10, and so what? Nobody deemed it necessary to observe that date.

The offset for currency futures does not depend on physical demand and supply or dividend payments, as it does for commodity or index futures. It is just the result of a simple calculation of the impact of expected interest rates over the 3 month period between the expiry of the front month and back month contract. Nothing exciting, and unless there is a surprise change in interest rates which hits close to rollover date, you can calculate your offset from any day you like. For example for 6E you would have got

rollover date Dec 10 -> offset = + 0.13
rollover date Dec 11 -> offset = + 0.13
rollover date Dec 12 -> offset = + 0.12
rollover date Dec 13 -> offset = + 0.11
rollover date Dec 14 -> offset = + 0.11
rollover date Dec 17 -> offset = + 0.11

Volume shifted to the new contract on Friday, 14 December, so that is what I used as roll date.

@Daytrader999: The rollover date December 13 does only apply to index futures, but neither to currency, nor interest rate nor commodity futures.

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Fat Tails View Post
@Daytrader999: The rollover date December 13 does only apply to index futures, but neither to currency, nor interest rate nor commodity futures.

Thanks @Fat Tails, I referenced the Rollover date from Mirus calendar: Calendar | Mirus Futures

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Fat Tails View Post
The rollover story is not so easy.

(1) For index futures there are official rollover dates. Everything observes the date so there is no discussion required. The rollover date was Thursday, December 13 and the volume of index futures shifted to the new contract.

(2) For currency futures there are also quarterly roll dates published by the exchange, but they are ignored by everybody. You can find them via the link below:

FX Quarterly Roll Dates

The official roll date was Monday, December 10, and so what? Nobody deemed it necessary to observe that date.

The offset for currency futures does not depend on physical demand and supply or dividend payments, as it does for commodity or index futures. It is just the result of a simple calculation of the impact of expected interest rates over the 3 month period between the expiry of the front month and back month contract. Nothing exciting, and unless there is a surprise change in interest rates which hits close to rollover date, you can calculate your offset from any day you like. For example for 6E you would have got

rollover date Dec 10 -> offset = + 0.13
rollover date Dec 11 -> offset = + 0.13
rollover date Dec 12 -> offset = + 0.12
rollover date Dec 13 -> offset = + 0.11
rollover date Dec 14 -> offset = + 0.11
rollover date Dec 17 -> offset = + 0.11

Volume shifted to the new contract on Friday, 14 December, so that is what I used as roll date.

@Daytrader999: The rollover date December 13 does only apply to index futures, but neither to currency, nor interest rate nor commodity futures.

so even if the date is the 14th or 17th the offset is still the same so i shouldnt have a problem? for some reason i do tho. my offset is 0.0011 and not 0.11 as you have noted above.

im being really dumb about this or im missing something completely.. or both..

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so even if the date is the 14th or 17th the offset is still the same so i shouldnt have a problem? for some reason i do tho. my offset is 0.0011 and not 0.11 as you have noted above.

im being really dumb about this or im missing something completely.. or both..


.0011, just different positioning of decimal place.

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madLyfe View Post
so even if the date is the 14th or 17th the offset is still the same so i shouldnt have a problem? for some reason i do tho. my offset is 0.0011 and not 0.11 as you have noted above.

im being really dumb about this or im missing something completely.. or both..

0.0011 $ = 0.11 cents

NinjaTrader displays the offset in $.

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kevinkdog View Post
.0011, just different positioning of decimal place.


Fat Tails View Post
0.0011 $ = 0.11 cents

NinjaTrader displays the offset in $.

ya im just not sure today on the 3-13 contract its supposed to look like this on an 800 tick chart..



somewhere im missing something big and i just cant wrap my head around it..

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Daytrader999 View Post
Thanks @Fat Tails, I referenced the Rollover date from Mirus calendar: Calendar | Mirus Futures

@Daytrader999:

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.

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According to this:

Equity Index Roll Dates

It could be interpreted that the ES globex front-month contract shifts on Thursday evening (Friday's trading day). It says:


CME
Example:
If the Rollover date is Thursday, December 13, 2012 for the S&P 500 futures contract, the CME Globex session beginning that evening (at 3:30 p.m. Chicago time /CT) will list the Mar 2013 contract for trading and the Dec 2012 contract would no longer be available to trade on CME Globex. On the trading floor, the Mar 2013 contract would become the lead month beginning at 8:30 a.m. on Thursday, December 13, 2012.

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?

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as a side note: CQG data feed on NT is all jacked up and wont be fixed till this weekend(sat) as said on their forums..

NT or CQG data loss - NinjaTrader Support Forum

im guessing this is where my issues are coming from. sorry to put anyone out on trying to help me.

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josh View Post
According to this:

Equity Index Roll Dates

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?


@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.

Some data vendors, for example

PINNACLE DATA PRODUCTS - Continuously Linked Commodity Contracts - CLC Database

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.

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