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Direct MessagesDate/Time: Fri, 19 Apr 2024 16:53:55 +0000
CME equity index futures June-September roll date?
View Count: 935
| [2014-06-12 14:59:32] |
| T44 - Posts: 363 |
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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] |
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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.
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