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extreme low liquidity today -> Rollover days


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extreme low liquidity today -> Rollover days

  #1 (permalink)
 anniebee321 
london
 
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why is there such low liquidity in fgbl today??
i got minus 6 pip fill? there isn't a bank holiday as
far as i am aware?

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  #3 (permalink)
 
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 max-td 
Frankfurt
 
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cause FGBL rolled over today to 12-10-contract


https://my.jetscreenshot.com/2337/20100908-jylo-153kb.jpg

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  #4 (permalink)
 
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 mea109 
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hello
may be expired contract

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  #5 (permalink)
 anniebee321 
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thank you max i was reading the date as 12th october!!!!

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 jtrade 
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max-td View Post

That's interesting - I thought all the Eurex contracts rolled on the same day, but FDAX volume is still on the September contract & I assume rolls on the last trading day (17th). Thanks.

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  #7 (permalink)
 
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 max-td 
Frankfurt
 
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yep FGBL is different - like the US-Treasury s are also different compared to the index-futures .

for FGBL its : Achter Kalendertag des Fälligkeits-Monats -

ca. the 8. day of the shown contract-month
or second wednesday of the contract-month i think


fdax, fesx etc : 3. friday of the shown contract-month

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 Fat Tails 
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At 3:00 PM CET liquidity for the contract FGBL 12-10 stood at 95% of an average Wednesday for the front month of FGBL. Quite a normal day.


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 jagui 
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Eurex calendar:

www.eurexchange.com/trading/calendar/2010_en.html

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  #10 (permalink)
 
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 max-td 
Frankfurt
 
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good example for RollOver in 6E today :




this happens usualy at the 2. Thursday / Friday of the contract-month.

yesterday it was between more on 09-10 to 50/50 - today it switched to clearly more on 12-10.


-

max-td
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Last Updated on September 10, 2010


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