Futures Rollover effecting Volume Analysis

September 1st, 2014, 08:58 PM

I know many trading systems look at volume as an important indicator.

How do you analyze volume on futures contracts when the volumes are so 'roll' dependent?

For example the chart below shows the trading volume of the prompt two ES contracts for the Dec'11 thru Jun'13 contracts centered around their expiration day.

As you can see volume spikes approximately 50% in the 4-6 days around expiry. So how do you tell what volume is important due to price, and what is volume due to the roll.

September 2nd, 2014, 12:47 AM

Personally, I use a rolling relative average based on day of week, and based on number of weeks in a lookback period. I set it to above 12. This gives me a relative volume figure that is based on day of week as well as includes an (averaged out) expiration volume.

So volume is represented in terms of % like 100=normal volume.

Mike

Futures Rollover effecting Volume Analysis

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Futures Rollover effecting Volume Analysis