ES #F daily volume near roll-over

[tbodnar]

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.

[JayF]

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