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Timing DAX Futures roll-overs ?
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Timing DAX Futures roll-overs ?

  #1 (permalink)
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Timing DAX Futures roll-overs ?

When do you change from the March(H) to June(M) contract in Dax Futures ? I changed ES & 6E Friday (UK am) but whilst I trade above through a broker, I spread-bet the Dax because of the capital cost of the contract. IG Index still has a 2point spread March but circa 6 on June which suggest the primary contract is still March .....

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  #3 (permalink)
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Bramhall17 View Post
When do you change from the March(H) to June(M) contract in Dax Futures ? I changed ES & 6E Friday (UK am) but whilst I trade above through a broker, I spread-bet the Dax because of the capital cost of the contract. IG Index still has a 2point spread March but circa 6 on June which suggest the primary contract is still March .....

Yes, the volume is still higher on the March contract. The last trading day for FDAX 03-11 is friday 18th.
So you might switch to the June contract on thursday 17th or perhaps earlier if volume shifts before this date.

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DAX

Thanks for this very informative answer

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FDAX is always very late with the roll-over. Wednesday or Thursday will be the day that volume will roll-over.

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Bramhall17 View Post
When do you change from the March(H) to June(M) contract in Dax Futures ? I changed ES & 6E Friday (UK am) but whilst I trade above through a broker, I spread-bet the Dax because of the capital cost of the contract. IG Index still has a 2point spread March but circa 6 on June which suggest the primary contract is still March .....

Expiry FDAX

FDAX and FESX have the same contract expiry as US index futures, which is the 3rd Friday of the contract month.


Rollover Dates FDAX

Volume switches to the new contract on the last trading day (3rd Friday of the contract month) only. If you hold a swing position, you want to rollover this position on Thursday afternoon, as the liquidity for the old contract quickly dries up on Friday.

For merging contracts, it is best to use the Friday as rollover day, but you can as well use the Thursday, although volume is still higher for the old contract.

Rule of Thumb

Roll FDAX and FESX on Thursday, always one week after US index futures.

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Bramhall17 View Post
I spread-bet the Dax because of the capital cost of the contract. IG Index still has a 2point spread March but circa 6 on June which suggest the primary contract is still March .....

Be aware that you are trading against a bucket shop!

Therefore the rational roll-over dates (Thursday) for the true futures are not necessarily applying for this case.

Better watch the spread.
It may narrow already Wednesday or as well it might stay wide all the way into Friday.

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