Rollover Days - some Quick Facts about

December 5th, 2010, 05:41 PM

flyscalper

Hello,

anybody knows what is the rollover rule for the Bund (FGBL)?

Un saludo,

Pablo

It should roll 1 day prior to expiry. FGBL 12-10 expires on December 8, so you would roll on Tuesday, December 7.

You can also determine the rollover date via volume crossover. Volume should shift from the old to the new contract on Tuesday.

traderwerks · December 5th, 2010, 07:04 PM

Fat Tails

Question: If you still hold a long position of the old contract on first notice day, you are running the risk to be assigned to purchase the underlying by the clearing house. Has anybody tried this? Does your broker automatically roll or close your position to avoid this?

My broker ups the margin to account for that to make sure you either trade the correct contract or have enough for delivery.

December 22nd, 2010, 01:44 PM

Does anyone know of a website that lists all the near term contracts of futures instruments with the associated volume for each contract? I have found quote.com that shows this info for all futures, but does not have volume.

Quote.com U.S. Markets - Futures Quotes and Charts - Quote for CL

December 22nd, 2010, 02:03 PM

Here you have all the futures markets with volume:

Barchart.com - Commodity Futures Market Overview

Un saludo,

Pablo

March 25th, 2011, 05:05 PM

So speculators must rollover to the next contract lest they get stuck with an actual delivery?

Those who actually need the delivery of barrels of oil will not rollover?

That makes trading futures kind of like hot potato right?

March 25th, 2011, 06:23 PM

futuresinvestor8

So speculators must rollover to the next contract lest they get stuck with an actual delivery?

Those who actually need the delivery of barrels of oil will not rollover?

That makes trading futures kind of like hot potato right?

Apparently so, unless your broker closes the position for you before contract expiry. See the answer from Fat Tails below:

Changing rollover dates for CL

Yes, if you hold a long contract until expiry, you will have to take delivery in Cushing, Oklahoma. Typically your broker will close out your position, before this happens, but if you are unlucky and your broker does not do that for you, you will take …

December 19th, 2012, 01:55 PM

ive never had trouble rolling over contracts until recently and im not sure there is even a problem here but something looks fishy. is the 6E volume just really low today or what? i notice the rollover date for the 3-13 contract is 12/17/2012 but was set to 12/14/2012 in NT so i changed that and reloaded my historical data and it looks like nothing has really happened today. am i off my rocker here or what?

December 19th, 2012, 02:29 PM

@madLyfe:

6E traded a volume of around 204k contracts today so far.

Did you already take a look at the merge settings in your instrument manager ?

December 19th, 2012, 02:35 PM

Daytrader999

@madLyfe:

6E traded a volume of around 204k contracts today so far.

Did you already take a look at the merge settings in your instrument manager ?

Attachment 97638

ya i did.. these are my settings.. ive never really touched them..

December 19th, 2012, 02:38 PM

madLyfe

ya i did.. these are my settings.. ive never really touched them..

Hmm, that sounds strange...you may try to change the Merge Policy parameter to 'DoNotMerge', this was also a Rollover problem on CL recently...

Rollover Days - some Quick Facts about

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Rollover Days - some Quick Facts about