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» Rollover date for ES futures
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| Author | Topic: Rollover date for ES futures (5 messages, Page 1 of 1) |
 josh -Interested User- Posts: 89 Joined: Sep 14, 2011 |
Posted: Dec 18, 2012 07:39 PM
Msg. 1 of 5
Am I correct in saying that IQFeed made the rollover for @ES#C on Wednesday, September 12 at 5pm CT? In other words, at that point and beyond we have ESH, and prior to that we have back-adjusted ESZ? The CME page says that while the SP pit contract rolls over on Thursday at 8:30am CT, that the globex session would roll over that evening (it says at 3:30pm CT but since the recent changes I think they probably mean 5pm CT but it is not relevant here).
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josh -Interested User- Posts: 89 Joined: Sep 14, 2011 |
Posted: Dec 18, 2012 07:41 PM
Msg. 2 of 5
Forgot to include link:
http://www.cmegroup.com/trading/equity-index/rolldates.html And quote: "Example: If the Rollover date is Thursday, December 13, 2012 for the S&P 500 futures contract, the CME Globex session beginning that evening (at 3:30 p.m. Chicago time /CT) will list the Mar 2013 contract for trading and the Dec 2012 contract would no longer be available to trade on CME Globex. On the trading floor, the Mar 2013 contract would become the lead month beginning at 8:30 a.m. on Thursday, December 13, 2012." |
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DTN_CurtisT -DTN Technical Support- Posts: 323 Joined: Jun 14, 2007 
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Posted: Dec 18, 2012 07:55 PM
Msg. 3 of 5
Hello Josh, yes the E-Mini S&P did roll wednesday night to the March 2013 contract as well as the Electronic S&P 500 future. The Pit traded S&P 500 Future switched to the March 2013 Thursday morning to the March 2013 contract.
How the roll-over works is when the contract closes for day it will switch to the next contract when that symbol opens for the new session. Since both the E-Mini and Electronic opens in the evening of the day of the roll-over it is considered the next day session while the Pit traded futures do not open till the actual next day that is when they will roll to the next contract. If you have any other problems or questions please let us know. Curtis Thompson support@iqfeed.net support@dtniq.com Trading Markets Customer Service 1-800-397-7000 x3614 |
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josh -Interested User- Posts: 89 Joined: Sep 14, 2011 |
Posted: Dec 18, 2012 09:07 PM
Msg. 4 of 5
Thank you for your quick reply Curtis.
But as you can see from the CME quote, the rollover was to happen on the evening of the 13th, Thursday. This is a discrepancy, isn't it? |
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DTN_CurtisT -DTN Technical Support- Posts: 323 Joined: Jun 14, 2007
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Posted: Dec 18, 2012 09:18 PM
Msg. 5 of 5
Hello Josh, actually from the example that you posted, the rolls happen before the open of the date of rollover.
On the trading floor, the Mar 2013 contract would become the lead month beginning at 8:30 a.m. on Thursday, December 13, 2012. This also happens with the electronic contract but during the night before as they start then not in the morning. Curtis Thompson support@iqfeed.net support@dtniq.com Trading Markets Customer Service 1-800-397-7000 x3614 |
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