ES #F daily volume near roll-over

tbodnar

Registered User

Join Date: Apr 2003

Posts: 108
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#1

ES #F daily volume near roll-over

06-12-2003, 03:16 PM

On each Wednesday and Thursday preceding the week of futures expiration (where Thursday is the roll-over day), my advanced chart volume is shown incorrectly. Each of those 2 days show very low volume. For Wed., 6/11/03, I have a volume of 7052, and for Thu., 6/12/03 (so far), 34752. Going back, I see tiny volume quotes for March 12-13, 2003, December 11-12, 2002, etc., etc.

It appears that the daily volume is incorrectly quoted EACH time this pair of days occurs.

Last edited by tbodnar; 06-12-2003, 03:56 PM.

Tom
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JayF

Product Manager

Join Date: Feb 2003

Posts: 3882
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#2

06-13-2003, 08:28 AM

This is a result of the way we rollover the #F (Continuous) contracts, and the way volume is reported. These two FAQ's should explain the reason for the volume differences.

Rollover FAQ
Volume FAQ

Regards,
Jay F.
Product Manager
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