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Isn't vol more important than OI in term of liquidity (slippage concerns)?.
-----Original Message-----
From: Brian Massey [SMTP:bnm03@xxxxxxx]
Sent: Saturday, August 01, 1998 2:27 PM
To: omega-list@xxxxxxxxxx
Subject: RE: Front month question?
Todd,
After several years with Pinnacle and trading real time, I would recommend,
to keep life simple, you roll with the Pinnacle dates. I've found they
closely approximate the movement of liquidity from one month to the next.
Also, beware that some months farther out can be more liquid (> OI) than
the front month. Dec Cotton is a good example of this. Most people skip
October.
As far as the ags go, I would say Fri was a good time to roll. I'm already
in Oct hogs from a few weeks ago because they were the weakest market when
I got in (between Aug/Oct) and I just rolled into Oct cattle on Fri.
Good Luck,
Brian.
-----Original Message-----
From: TTrue61470@xxxxxxx [SMTP:TTrue61470@xxxxxxx]
Sent: Saturday, August 01, 1998 12:51 PM
To: omega-list@xxxxxxxxxx
Subject: Front month question?
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
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