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Thank you. I was familiar with that one. I was looking for something more comprehensive, and more pragmatic (reflective of typical trader volume rules).
Any thoughts on the best time of day to rollover? I've noticed that the hourly volume tends to tip over during the 7 or 8 am (central) hour. Maybe it doesn't matter much?
I would say stay with the same contract for the whole week, then change it the coming Monday. Usually that's how the volume stays in the same contract.
E.g. Third Thursday this month was rollover. I switched to December the coming Monday as volume *usually* gets shifted on Mondays. Go by days and not any specific times. And if in doubt, check the daily volume traded on the rollover dates.
When volume actually rolls typically varies anywhere from two days before to two days after the roll date, depending on the instrument. Starting two days before the calendar roll date, start monitoring volume for both front and immediate forward month, then roll when volume shifts.
Below is typical behavior for some popular markets, but is variable usually within a two-day range: (EOD = End of Day)
RTY, YM: Volume shift on day after calendar roll date, so roll EOD on Thursday PM, the roll date.
ES, NQ: Volume shift on Sunday after calendar roll date, so roll EOD on Friday PM.
6E: Volume shift on the day after calendar roll date, so roll EOD on roll date.
CL: Volume shift on calendar roll date or the day after, so roll EOD on day before roll date or EOD on roll date.
NG: Volume shift on day before calendar roll date or on roll date, so roll EOD two days before roll date or EOD one day before roll date.
GC, SI: Volume shift one to two days after calendar roll date, so roll EOD on roll date or EOD on day after roll date.
ZB: Volume shift one to two days after calendar roll date, so roll EOD on roll date or EOD on day after roll date.
