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Date/Time: Tue, 06 Dec 2022 06:22:44 +0000



CME equity index futures June-September roll date?

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[2014-06-12 14:59:32]
T44 - Posts: 357
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)
[2014-06-12 16:44:59]
Sierra Chart Engineering - Posts: 104293
The rollover date is calculated correctly. But you can stay on the June contract for now. You do not need to rollover if you do not want to.
Sierra Chart Support - Engineering Level

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