TF #F rollover

[gem2004]

Traditionally instruments roll over on the Thursday, a week before expiration. Just now TF #F data reflects the June contract values instead of the March one.

Is there a reason behind it, or should it be corrected.

Btw ES, YM and NQ are all with March data right now.


Thank you.

[eSignal_AveryH]

In the past, TF would expire after the CME stock index, we had measures in place to roll the contract one day eariler so that we matched the roll of the CME. Resent changes made at ICI moved the expiration up a day to match the CME's expiration. Because of the measures we had in place before the change it caused the contract to roll now one day eariler then CME. New rules are are being worked out to adjust the roll to once again match the CME.

We apologize for the inconvenience.

[Kel108]

Thanks for this information - I was caught by surprise to see this as well - thanks gem for posting and esignal for the quick response.