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Some of this information is from a 1996 posting, but I think it still
applies. I monitor volume in the old and new contract, and switch when
volume shifts to the new contract. On CME currencies, the pit volume
switches on the indicated day, but the Globex volume switches a few days
later.
Bonds rollover on the last Wednesday of the month before expiration. (Nov.
Feb. May Aug.)
The S&P futures expire the 3rd Friday of the month in March, June, Sept, and
Dec. The day before the 2nd Friday of the month (Thursday) is the day the
new contract begins to trade actively. This will usually be the 2nd Thursday
of the month, but could be the 1st Thursday of the month if the first day of
the month is a Friday - thus I say the day before the 2nd Friday of the
month.
And the Monday before the Thursday SP rollover is when the currencies change
front months.
Jim Sullivan
===================================================
> ----- Original Message -----
> From: "Mike Marcott" <omegalist@xxxxxxxxxxx>
> To: "omega list" <omega-list@xxxxxxxxxx>
> Sent: Tuesday, December 09, 2003 11:06 PM
> Subject: When do Bonds/Notes Roll?
>
> > Hello List,
> >
> > When do the Bonds/Notes (US, TY, FV, TU) roll to the next contract? Is
> > it a set date or is it based on volume? Where would I find info on
this?
> >
> > S&P contract rolls on the Thursday the week prior to expiration - do the
> > bonds/notes do the same?
> >
> > Any info would be greatly appreciated. Thank you.
> > --
> > Best Regards,
> >
> > Mike
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