CME Index contracts Rollover Today Sept 7, 2006

[Larry Marchman]

FYI...CME Index contracts rolled to new front month today Sept 7. For example ES06Z.

FWIW...I've used the general rule of thumb that CME Index roll was the 2nd Thursday of the expiring month. And have seen posts by others indicating the same perception. After a little googling on the subject it looks like for the CME Indexes rollover is 8 days before the 3rd Friday of the expiration month. For CME currencies 9 days before the 3rd Wednesday of the expiration month.

For those who were interested in the "chopped" CompSyms.UNF that provides a workaround for the StochRSI bug, I put a new one up at eSignal FileShare that has been updated for a front month of "Z".
Initial post regarding StockRSI bug...

http://finance.groups.yahoo.com/group/qcharts/message/44283

CompSyms UNF(link) R-click>SaveTargetAs

LAM

[tcb247]

Front Month

Is the 7th really the 2nd Thursday? Of September? This year? I might be confused, but it looks like eSignal is showing Z as the front month (#F) and most traders are using Sept. Perhaps they are under the impression that the rollover is next week. Any thoughts?

[Larry Marchman]

The 7th is the first Thursday of Sept 2006. The general notion that many, if not most, folks have is that the roll is the 2nd Thursday. This normally is so, but not this time since Sept 1 was a Friday. Any day other than Friday for Sept 1 and the 2nd Thursday would have been rollover.

The actual schedule is the third Friday -8 days, which puts rollover at the 7th. And indeed today the 7th was rollover. A glance at the volumes of Z vs U contracts shows the volume switch to Z on the 7th.

LAM