Rollover day

Hi there,

I was trying to get my DAX data sorted out for the June to September Rollover and noticed that there is a much bigger discrepancy between the contracts than I would expect.

For example today I have June opening 4588.50 and September 4612.50, this dosent seem right to me.

I'm also hardly seeing any volume on the September contract which seems odd.

What is concidered the 'normal' day to roll contracts?

Thanks a lot
Nick.

The normal day to roll contracts is the day the front one expires,
but it is more prudent to roll over to the new one at the close of business on the Friday that precedes the rollover date.In this way on Monday morning you can take advantage of pull away with certainty. The Dec contract is already in play and being traded also, by the way.

SOCRATES said:

The normal day to roll contracts is the day the front one expires,
but it is more prudent to roll over to the new one at the close of business on the Friday that precedes the rollover date.In this way on Monday morning you can take advantage of pull away with certainty. The Dec contract is already in play and being traded also, by the way.

Click to expand...

Thanks for the quick reply. Thats pretty much as I thought though I am still surprised there is a 30 point differential (unles my data is shot) between the June and the September?

Cheers
Nick.

No, your data iis perfectly correct.

BrainStorm said:

Thanks for the quick reply. Thats pretty much as I thought though I am still surprised there is a 30 point differential (unles my data is shot) between the June and the September?

Cheers
Nick.

Click to expand...

The quote is based on 'Fair Value'. The formula to work it out is: FV = S [1 + (I - D)]

Where "S" is the dax Index.

Where "I" is the amount of Interest paid to your banker or broker to borrow the money to buy all of the stocks in the dax Index. The interest is calculated based on a percentage lending rate (R) from the current date (today) until the date that the dax Futures Contract expires in March, June, September, or December.

Where "D" is the amount of Dividends paid to you from the companies that you own in the dax that pay a dividend. The dividends are paid to you based on the record dates for any stock in the Index that is announced between the current date (today) and until the date that the dax Futures Contract expires in March, June, September, or December. This dividend income is expressed as a percentage rate too.

That's it.

...the value of dax Index, plus the interest I pay my broker to buy all of the stocks in it, minus all of the dividend checks I get from those stocks.

If the quote for sep was the same as that for june then it would be cheaper for an institution/ hedge fund whatever to buy the future instead of all the individual shares, so causing the price to rise until it reached Fair Value.

Trust you are now blinded by science and i can interest you in buying my full proof system for $10,000?

BrainStorm said:

Hi there,
I was trying to get my DAX data sorted out for the June to September Rollover and noticed that there is a much bigger discrepancy between the contracts than I would expect.
For example today I have June opening 4588.50 and September 4612.50, this dosent seem right to me.
I'm also hardly seeing any volume on the September contract which seems odd.
What is concidered the 'normal' day to roll contracts?
Thanks a lot
Nick.

Click to expand...

Peto's post is spot on so far as calculating 'fair value' is concerned. However, the price differential between the expiring and forward month contracts on the last trading day of the expiring contract can often have much more to do with open interest scrambling to cover/square positions in the final few trading hours of the expiring contract rather than a sober assessment of 'fair value'. In the case of the DAX, its closing price is determined at a closing auction for existing open interests. After that, remaining open interest is settled at the settlement price which is the value of the index proper determined through a similar process. The fundamental thing about an index futures contract is that it is always settled at the price of the underlying index per the contract specification, but its last TRADED price can be way off. The DAX30 futures contract spec is at:http://www.eurexchange.com/products/FDAX.html

Have a look at my posts on the DOW thread today for a startling example of how the FTSE100 June futures closed today: http://www.trade2win.com/boards/showpost.php?p=186206&postcount=4929

& http://www.trade2win.com/boards/showpost.php?p=186212&postcount=4931

Thanks again for the detailed replies. I must admit I have never really looked in detail at fair value, premium, intrest rates etc etc. I dont hold over night positions and in the past have just switched contracts at an apropriate time.

It seemed like the difference in the contracts 'felt large' in comparison to the US index futures. I have also been having some data problems recently. Apart from that it messed up my S/R levels!

Cheers,
Nick.

Did not look at the DAX but today's expiry of the June FTSE was a mess.

The roll-date varies from contact to contact but If you trade anything that is physically deliverable make sure you are out before the first notice day.

Most people would have rolled the DAX on Thursday.

for rollover day, mentioned is the friday before the expiration. I'm looking at the agricultural futures on cbot, wheat, corn and soybeans, it seems as if the most active contracts are the DEC. So is it that those products rollover earlier when compared to the ES and etc? Thanks