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TTrue61470@xxxxxxx wrote:
>
> When does Oct. become the front month in hogs and cattle? And how can I
> keep track of rollover dates for various markets in the future?
>
> I have a list of dates from pinnacle that for example says the rollover
> date for cattle is the 27th of the month prior to the delivery month. But I'm
> not sure if this is an approximation. Also the volume and open interest from
> yesterday doesn't tell me where the volume will be tomorrow.
>
> If your on the floor it's easy. At the CBOT there would be a big sign at
> the entrance to the trading floor that would read, Nov. Beans move to the top
> step today. But I never fully understood why that particular day was the day.
>
> Thanks in advance,
> Todd
I don't think the one day delay in vol/oi stats should worry you.
There is probably no "one" day you should rollover. There will be a
period of probably a week or considerably more when both the earlier and
later contracts are roughly equally liquid. With grains and some of the
softs like sugar and cocoa, the OI seems to spread out quite a bit.
Some of the others like the financials and metals seem to concentrate
more in one month, but even still I believe you have a "window" of a
week or more when both contracts are active.
I don't trade stock index futures but I've read that the transition in
them does take place practiacally overnight. I think there is a brief
description of this in the Pinnacle literature.
As a position trader, if i am in a position i might not roll until 1-10
days before first-notice-day. But if i am initiating a position I'm
more apt to go to the next active month if I am anywhere near FND. I
look at the OI stats in the newspaper to decide. For example, if FND is
only 30 days away, i would be likely to go to the next month even if OI
was only 1/3 of the amount in the biggest month. Not sure that's a good
idea - there would be more slippage on exits (stops), but otoh, the cost
of the rollover is avoided.
Conrad Bowers
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