When is the best time to jump to the next traded month for index futures?

[powerbook]

Hi,

when does the vol dry up?

say the YM, ES, NQ etc.

a week?

3 days?

10 days?

when do *most* people switch?

thanks

 

[SOCRATES]

At least a week before to not be caught out by volumetric considerarions prior to expiry, because of migration.

 

[powerbook]

Thanks. Has anyone been watching when the march vol tailed off and June took over (for any index).

 

[SOCRATES]

As above, Mark One Eyeball, PLease.

 

[Bigbusiness]

I think for the YM and ES, the best day is the 2end Thursday of March, June, September and December. The options expiration is the 3rd Friday of those months but the switch is the 2end Thursday. I think the switch is at the open of the markets, 2:30pm UK time.

 

[SOCRATES]

There you are, the same, I hope you are now finally satisfied. Must go, all hands on deck!

 

[Bigbusiness]

The change in volume is obvious and even if you forget the date, when you see this it should remind you.

I keep a chart of the next contract available, just in case I do have a memory lapse.

 

[mouthwash]

Thanks peeps.

 

[rossored]

How about a .pdf file that gives all the contract change dates for all the major exchanges?

(available freely from IB's website, btw)

 

[mouthwash]

WOW. Thats great. Thanks!