Futures Rollover effecting Volume Analysis - Traders Hideout | futures.io
futures.io futures trading

Go Back   futures.io

> Futures Trading, News, Charts and Platforms > Traders Hideout

Futures Rollover effecting Volume Analysis
Started:September 1st, 2014 (08:58 PM) by SMCJB Views / Replies:570 / 2
Last Reply:September 2nd, 2014 (12:47 AM) Attachments:1

Welcome to futures.io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Thread Tools Search this Thread

Futures Rollover effecting Volume Analysis

Old September 1st, 2014, 08:58 PM   #1 (permalink)
Market Wizard
Houston TX
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
Posts: 1,514 since Dec 2013
Thanks: 1,352 given, 2,264 received
Forum Reputation: Legendary

Futures Rollover effecting Volume Analysis

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.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Last edited by SMCJB; September 1st, 2014 at 09:01 PM. Reason: added chart
Reply With Quote
The following user says Thank You to SMCJB for this post:

Old September 1st, 2014, 08:58 PM   #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.


Old September 2nd, 2014, 12:47 AM   #3 (permalink)
Site Administrator
Manta, Ecuador
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
Big Mike's Avatar
Posts: 45,425 since Jun 2009
Thanks: 28,834 given, 79,538 received

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.


Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote


futures.io > Futures Trading, News, Charts and Platforms > Traders Hideout > Futures Rollover effecting Volume Analysis

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Upcoming Webinars and Events (4:30PM ET unless noted)

Corey Rosenbloom: Tips, Tactics, and Real Trades: Trading Intraday Trend Reversals

Elite only

An Afternoon with FIO trader bobwest

Elite only

NinjaTrader 8: Programming Profitable Trading Edges w/Scott Hodson

Elite only

Anthony Drager: Executing on Intermarket Correlations & Order Flow, Part 2

Elite only

Adam Grimes: Five critically important keys to professional trading

Elite only

Machine Learning Concepts w/FIO member NJAMC

Elite only

MarketDelta Cloud Platform: Announcing new mobile features

Dec 1

NinjaTrader 8: Features and Enhancements

Dec 6

Similar Threads
Thread Thread Starter Forum Replies Last Post
Webinar: FulcrumTrader Cumulative Delta Volume Analysis on CME FX Futures FulcrumTrader The Elite Circle 64 October 6th, 2016 09:59 PM
Futures rollover webpage/stick thread RM99 Commodities Futures Trading 12 September 12th, 2013 04:27 PM
Treasury futures rollover virginiatrader Bonds and Interest Rates Trading 5 June 30th, 2013 05:12 PM
NinjaTrader - Market Replay - Rollover / Volume Rollover drunkcolonel NinjaTrader 0 October 22nd, 2012 06:23 PM
Futures Rollover Rules jdfagan Traders Hideout 2 May 5th, 2011 12:57 AM

All times are GMT -4. The time now is 08:35 PM.

Copyright © 2016 by futures.io. All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts

Page generated 2016-10-20 in 0.10 seconds with 24 queries on phoenix via your IP