NexusFi: Find Your Edge


Home Menu

 





Timing DAX Futures roll-overs ?


Discussion in Traders Hideout

Updated
      Top Posters
    1. looks_one Bramhall17 with 2 posts (0 thanks)
    2. looks_two Quick Summary with 1 posts (0 thanks)
    3. looks_3 Fat Tails with 1 posts (1 thanks)
    4. looks_4 Ryanb with 1 posts (0 thanks)
    1. trending_up 7,594 views
    2. thumb_up 1 thanks given
    3. group 6 followers
    1. forum 6 posts
    2. attach_file 0 attachments




 
Search this Thread

Timing DAX Futures roll-overs ?

  #1 (permalink)
 Bramhall17 
Manchester UK
 
Experience: Intermediate
Platform: NinjaTrader 7
Trading: ES NQ + Weekly Options
Posts: 25 since Nov 2010
Thanks Given: 22
Thanks Received: 12

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 .....

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Exit Strategy
NinjaTrader
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
Better Renko Gaps
The Elite Circle
Are there any eval firms that allow you to sink to your …
Traders Hideout
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
38 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
GFIs1 1 DAX trade per day journal
19 thanks
The Program
18 thanks
  #3 (permalink)
 
TempletonPeck's Avatar
 TempletonPeck 
Germany
 
Experience: Beginner
Platform: NinjaTrader
Broker: Mirus Futures/Zen-Fire
Posts: 200 since Feb 2010
Thanks Given: 1,138
Thanks Received: 202



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.

Reply With Quote
  #4 (permalink)
 Bramhall17 
Manchester UK
 
Experience: Intermediate
Platform: NinjaTrader 7
Trading: ES NQ + Weekly Options
Posts: 25 since Nov 2010
Thanks Given: 22
Thanks Received: 12

Thanks for this very informative answer

Started this thread Reply With Quote
  #5 (permalink)
 
Ryanb's Avatar
 Ryanb 
Netherlands
 
Experience: Advanced
Platform: none
Trading: Stocks
Posts: 195 since Sep 2010
Thanks Given: 117
Thanks Received: 358

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

Reply With Quote
  #6 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


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.

Reply With Quote
Thanked by:
  #7 (permalink)
 uexkuell 
Pt Vala
 
Experience: Advanced
Platform: Proprietary
Trading: CL, EUR, DAX
Posts: 58 since Apr 2010
Thanks Given: 12
Thanks Received: 31


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.

Reply With Quote




Last Updated on March 14, 2011


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts