Stock Index Futures Rollover

Rollover is when a new contract month becomes the dominant contract in terms of new volume, for both pit (open outcry) and electronic trading sessions. For stock index futures, rollover officially begins one week before the expiration of the nearest contract.

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So today, the section of the trading floor pits previously devoted to trading September contracts are now trading December, and the September indices are moved to the back, or smaller section of the pit. On the trading floor, Dec is now referred to as the “front month” insofar as stock index futures trading is concerned. We don’t have quite the same issue with electronic platforms, so the Globex and ICE platforms rollover is more symbolic…as we will now see day-traders focusing more of their trading in the December contracts and position traders unwinding September positions and re-establishing them in the December.

Both CME Group and ICE now report what is referred to as the “Pace of the Roll” available online.

1. Russell Indices rollover can be tracked at the ICE website page:
https://www.theice.com/productguide/ProductGroupHierarchy.shtml?groupDetail=&group.groupId=14

2. S&P, Nsadaq, Dow & Midcap 400 changes in volume and open interest in both tabular and graphic format at the CME Group website page:
http://www.cmegroup.com/trading/equity-index/paceoftheroll/index.html

Larry Schneider is director of business development for the Zaner Group, a Chicago-based independent introducing brokerage firm, and a frequent contributor to the futures pages of TradingMarkets. Zaner provides futures and forex brokerage services to self-directed traders, broker-assisted accounts as well as traditional full-service account management. He will be teaching the online Basics of Futures Trading course for Northwestern University’s School of Continuing Studies.

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