Its that time again for traders of futures, specifically US equity index futures for this post.
The ‘Roll’ date is approaching.
Via the CME website (in summary, there is more at the link):
- Equity products roll date is the Monday prior to the third Friday of the expiration month.
The third Friday of this month is on the 14th, which makes the rollover officially on Monday the 11th.
An alternative way of deciding when to roll is to check the volume of the current contract against the next, ie. December vs. March in this case. Once March trading volumes are greater than December then that’s a good sign its time to switch your trading the the March contract.