when to swap futures contract?

[SanMiguel]

When should you swap over to the next futures contract to trade it?
For example, the ES expires on Fri 17 Dec but most of the contract rearranging seems to occur on the Wednesday beforehand. So, how much does the volatility differ between the contracts around that time?

Useful site: http://www.keytradepro.com/EN/futures/contracts.asp

 

[Rhody Trader]

You won't see an appreciable difference in volatility between the contracts. All that stuff gets arbed out very quickly. You can basically roll over any time you want. And since the ES is cash settled, you can even wait until after the contract expires and move into the next one then.

 

[gc1]

You'll find that most day traders switch to the new front month from the start of regular hours trading on the second Thursday on the month, that will be 9'th December. But as Rhody Trader said there is pretty good liquidity right up until it's end so you don't have to do the same as everyone else.

 

[Martinghoul]

It's different for different futures.

 

[SanMiguel]

It's different for different futures.

I didn't mean the dates, I meant how long before the actual expiry date on the Friday

 

[Martinghoul]

I didn't mean the dates, I meant how long before the actual expiry date on the Friday

Yes, I know what you meant... My response was a bit of a non-sequitur. I meant that different types of futures contracts work differently, in terms of rolls. For example, the mechanics for bond futures would be different to those for index futures.

 

[Hittfeld]

I didn't mean the dates, I meant how long before the actual expiry date on the Friday

Many brokers require it to be done at least a day before, with IB automatic switch can be done. I normally switch two days before expiry.

Regards
Hittfeld