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Another thing is that some (many) traders always wait until the volume rolls into the next contract, which is what I have usually done. Sometimes this is called the volume rule, compared to the calendar rule: you change over when the volume has moved, so you're in the higher-volume contract. Even when taking the calendar roll date as the Thursday, usually enough traders were watching volume that they would not roll over until Friday or Monday.
Today, for example, I wasn't aware of the CME change to the calendar rule, but I had been watching volume, and Sept was still ahead on Friday at the close, but only by a little. I expected Dec to be ahead this morning, and it was, so I rolled then.
Different strokes. You just want to be out of the old before its liquidity drops off.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
With volume being so low Sept 12 and 15 I am guessing roll date is tomorrow Sept. 16. Z ES contract. Anyone knoe for sure? CME Website suggests that. Thanks. Scott
Prior to this change by the CME, I had automatically added an extra day in my platform to prevent the contract from rolling over too early before enough volume had transferred to the new contract.
Today I removed that setting since the volume transfer seems to be more in line with the exact calendar rollover date (at least for this rollover) and this removes some confusion thankfully since I always found rollover to be more art than science in the past
You always want the "front month," which (using the volume rule, at least) is the contract with the most volume. You're right that it's the Z contract (December), but you want to roll your trading out now, because Dec is the front month now, and has been all day. When it happens, it is obvious, no guessing required:
