| It just happened that September 1st, 2006, was | | | | trade the old one until the expiration day, but |
| a Friday. (And for those interested in historical | | | | doing so on the rollover day makes a lot of |
| trivia, September 1st, 1939, the day WWII | | | | sense. Otherwise, the longer you stay with the |
| started, was also a Friday.) Why am I talking | | | | old contract the more your trading is going to be |
| about it? Because September is a rollover month | | | | affected by the volume which is getting poorer |
| for many futures contracts, including very popular | | | | and poorer the closer we are to the contract |
| stock index e-minis and whenever a rollover | | | | expiration. |
| month starts on a Friday, a rollover day is on the | | | | Interestingly enough, December 1st 2006 also fell |
| first Thursday and not on the second one as is | | | | on a Friday and so again the rollover day was on |
| usually the case. I thought that pointing this out | | | | the first Thursday of the month and not on the |
| merits some attention. | | | | second one. You can easily check it using any |
| Here are some other facts about the rollover and | | | | online calendar. While this might look like a |
| expiration days. The latter is always on the third | | | | coincidence, it actually is not. There are some |
| Friday of a rollover month. For the instruments | | | | deeper reasons why this is so and can happen |
| we are most interested in, that is e-minis of the | | | | only to these two contract months. What this |
| futures contracts traded on the Chicago | | | | means, in particular, is that even if a March |
| Mercantile Exchange (CME) and the Chicago Board | | | | rollover day happened to be on the month's first |
| of Trade (CBOT), the months in question are: | | | | Thursday, the next rollover would never be on |
| March, June, September, and December. There is | | | | the first Thursday in June. The same is true for |
| a single contract letter associated with each | | | | the June-September sequence. In fact, using the |
| month and, in the same order, it is: H, M, U, and Z. | | | | calendar, we find out that June 1st, 2007 falls on |
| When we switched to the September 2006 | | | | a Friday and thus the month's rollover day will be |
| contract on the rollover day, which happened to | | | | on the first Thursday of June. However, the next |
| be on September 7th, we switched to trading the | | | | rollover day is on the second Thursday in |
| U contract. The rollover day is the day most | | | | September 2007. |
| traders start trading the new contract, which also | | | | You can learn why this is so from a very |
| means that the trading volume shifts from the old | | | | interesting Wikipedia article. Just visit this site and |
| contract to the new one. That does not mean | | | | find out what it has to offer on "corresponding |
| that you have to switch to trading the new | | | | months." That will explain this regularity. |
| contract on that particular day as you can still | | | | |