Rollover Days
Rollover Days and Volume
Rollover day is when we switch from trading the contract that
will expire this quarter to the contract that will expire the
following quarter.
The futures contract that we focus on (the e-mini S&P500 or
ES) expires on the third Friday of the months of March (H), June
(M), September (U) and December (Z). The rollover days, however,
are 8 days before expiration on the second Thursday of each of
these months. These months have the letter designations H, M, U,
and Z. Depending on the charting and trading platform that you're
using you would usually have to switch your reference to the
following month by letting the software know the contract and
expiry month/year. On eSignal "ES H5" refers to the e-mini S&P
contract that expires on the third Friday March 2005. Using eSignal
and the #F designation it will switch to the new contract on the
rollover day for you.
I have bit more to explain about how eSignal uses the #F
designation to make rollover day easier for you. On Globex, the
trading day starts at 16:30 EST the evening before the "day" and
ends at 16:15 EST on the "day." So, for example, Thursday's trading
session starts at 16:30 EST on Wednesday and ends at 16:15 EST on
Thursday. If you have a chart that is plotting the symbol
ES #F, then this chart will switch the symbol that is being
plotted at the start of the Rollover Day which in this case is
actually 16:30 EST before the "day" which in our case is the second
Thursday in each quarter. So the symbol swap happens at 16:30 EST
on the Wednesday before that Thursday.
Why is this useful? If you have 15 charts that plot several
E-mini contracts on several timeframes then you have to manually
edit each chart and change the symbol from the current to the next
quarter. If you've specified #F then this will happen automatically
for you and save you from forgetting or missing a chart -
especially if you have multiple pages/layouts of charts that you
load.