Re: [RT] TS8 tick volume today

["Pete Holt" <peteholt@xxxxxxx>]

Jan,

I guess this needs more explanation.  The rule for roll-over of the indices is:

 

Roll-over occurs on the Thursday before the second Friday of expiration month. 

 

December is an expiration month.  So roll-over is Thursday December 9, 2004.  However, if the volume of the March contract matched the volume of the continuous contract (and not the December contract) on Wednesday, December 8, 2004 then your data feed made the March contract the front month for the continuous contract on that date.  You can check this by looking at the price action during the day.  If the prices of the continuous contract match the prices of the March contract (and not the December contract) then they rolled over the contract a day early.  Not unheard of.

Pete

 

 

 

----- Original Message -----

From: JHP

To: realtraders@xxxxxxxxxxxxxxx

Sent: Wednesday, December 08, 2004 10:42 PM

Subject: Re: [RT] TS8 tick volume today

It is not only the continuous contract, but also the March contract that has lower volume.

If March became the front on last Monday, it should be the reverse and it ususally is.

At least accord to the number of ticks, because the volume reported by CME became

today higher for March than for Dec. They reported Tues volume lower for March than Dec.

 

Jan Philipp

----- Original Message -----

From: Pete Holt

To: realtraders@xxxxxxxxxxxxxxx

Sent: Wednesday, December 08, 2004 2:30 PM

Subject: Re: [RT] TS8 tick volume today

Jan,

It would appear that your data feed changed the front month for the continuous contract from the December contract to the March contract today.  Usually that would occur tomorrow or on the Friday before expiration day. Each data feed constructs the continuous contract differently in order to drive us crazy and create the maximum amount of confusion.

Pete

 

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----- Original Message -----

From: JHP

To: RealTraders

Sent: Wednesday, December 08, 2004 5:14 PM

Subject: [RT] TS8 tick volume today

How do you explain the following:
Today, for
- @EC contin. contract, 18,440 ticks from 7:20 to 14:00 CT
- ECH05 - the same
- ECZ04 - 32,200 ticks

Jan Philipp

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