I have traded the ES exculsively for the past few years. With the recent decrease volatility,I have recently have started looking at the CL. I would like to know when the rollover day is for the contracts. I have tried to look on the CME website but info is not clear for me.
I would recommend you load the current and next month's contract on Market Analyzer (in Ninja) and look for volume to move higher on the new contract (usually just after 3rd Thursday of the month) before making a decision on which to trade. Just FYI, I switched to 03-10 on CL Friday afternoon as I would expect Monday's 03-10 volume to be much higher than the 02-10 contract.
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Last trading day is 3 business days before the 25th of the month prior to the contract month. However, if the 25th is a non trading day, i.e. a weekend, last trading day is 3 business days before the first trading preceding the 25th.
So looking at the February contract as an example, the 25th of January is on a Monday. Three business days before that is Wednesday, January 20th and will be the last trading day.
I haven't been trading CL for long, but from what I can tell is that this is also when it roll-over. It doesn't appear to have an official roll-over day like the e-mini's. What I am doing is to monitor the volume in both the current and next contract during the week of the 20th and when they are close to each other I switch over. At the latest, switch over the morning of the last trading day.