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Date/Time: Fri, 19 Apr 2024 00:23:30 +0000

Post From: CME equity index futures June-September roll date?

[2014-06-12 14:59:32] Link To Thread - Link To Post [Go To First Post]
T44 - Posts: 363
SC told me today these contracts needed rolled into September. Convention is to roll 8 calendar days before expiry, and June expiry is June 20th. Today, June 12th, should therefore be the day to roll. However, not showing any significant volume in the lead month (September). It seems others are still trading in June - any ideas? (I am using continuous futures contracts, date rule, back adjusted)