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The idea is that you rollover when the immediate next contracts daily
volume gets bigger than the current contract that you have been trading.
I use the following for US futures (the one's I follow); it's not always
exact, but works for me.
DM = Delivery Month
MPDM = Month prior to delivery month
Currency futures - roll 8th of DM, at session close
Equity futures - roll Wed before 2nd Thur of DM, at session close
Bond futures - roll 26th of MPDM, at session close
HTH - Abhijit
Timo Henckel wrote:
Call me stupid but exactly on when days are you supposed to switch from one
futures contract to the next quarter's contract? And why on that day and not
earlier or later?
Thanks again.
Regards,
Timo
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