Which month do you trade for S&P?

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oem7110
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Which month do you trade for S&P?

Post by oem7110 » Wed Nov 16, 2011 12:15 am

Referring to following link, I still find ESM11.CME for Jun 2011, and I think it should be gone now. Does anyone have any suggestions on which month I should trade for S&P? Any suggestions for yahoo symbols?
Thanks in advance for any suggestions

http://finance.yahoo.com/

Chuck B
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Post by Chuck B » Wed Nov 16, 2011 8:44 am

It's hard to understand what you're asking, but take some time to understand the quarterly S&P futures market fully before venturing into trading it. Front month is what you always want to trade up until the roll in volume begins during end of the 2nd week of the delivery month.

When the pit contract was the main dude, the change in the front month position in the pit occurred on the open the Thursday one week prior to the 3rd Friday expiration. There was a massive shift in liquidity to the next quarterly contract around that time since everyone new the front month in the pit starting that Thursday at the open was the next in the series.

That process has become more spread out now that the E-mini is the king, so even though the pit contract is still thinly traded and (I think) still rolls the front month the same way, the trading community tends to trade both months pretty actively during the time period of that Thursday through the next day.

The front month at the current time is of course Dec 2011 contract.

oem7110
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Post by oem7110 » Wed Nov 16, 2011 9:22 am

Chuck B wrote: ...
That process has become more spread out now that the E-mini is the king, so even though the pit contract is still thinly traded and (I think) still rolls the front month the same way, the trading community tends to trade both months pretty actively during the time period of that Thursday through the next day.

The front month at the current time is of course Dec 2011 contract.
If today is 10 Dec 2011, does the front month at Dec Jan 2012 contract?
If today is 10 Jan 2012, does the front month at Dec Feb 2012 contract?
and so on ...

If I trade S&P 500, which one plays an active role on representing S&P contract?
ESZ11.CME E-Mini S&P 500 Dec 11
SPZ11.CME S&P 500 Dec 11
Does anyone have any suggestions?

Thanks you very much for any suggestions
Last edited by oem7110 on Wed Nov 16, 2011 9:27 am, edited 2 times in total.

sluggo
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Post by sluggo » Wed Nov 16, 2011 9:22 am

Chuck B wrote:It's hard to understand what you're asking
He is asking "Why does Yahoo Finance still quote the June 2011 contract of CME E-Mini S&P futures, even today? (November 16th)? Didn't the June 2011 contract stop trading several months ago?"
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oem7110
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Post by oem7110 » Wed Nov 16, 2011 9:25 am

sluggo wrote:
Chuck B wrote:It's hard to understand what you're asking
He is asking "Why does Yahoo Finance still quote the June 2011 contract of CME E-Mini S&P futures, even today? (November 16th)? Didn't the June 2011 contract stop trading several months ago?"
Yes, this is my question in my mind.
Thanks you very much for your descriptions

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Post by Chuck B » Wed Nov 16, 2011 9:31 am

oem7110 wrote:
sluggo wrote:
Chuck B wrote:It's hard to understand what you're asking
He is asking "Why does Yahoo Finance still quote the June 2011 contract of CME E-Mini S&P futures, even today? (November 16th)? Didn't the June 2011 contract stop trading several months ago?"
Yes, this is my question in my mind.
Thanks you very much for your descriptions
Because Yahoo has no clue what they are displaying.

oem7110
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Post by oem7110 » Wed Nov 16, 2011 9:52 am

This is another questions referring to S&P contracts

If today is 10 Dec 2011, does the front month at Dec Jan 2012 contract?
If today is 10 Jan 2012, does the front month at Dec Feb 2012 contract?
and so on ...

If I trade S&P 500, which one plays an active role on representing S&P contract?
ESZ11.CME E-Mini S&P 500 Dec 11
SPZ11.CME S&P 500 Dec 11
Does anyone have any suggestions?

Thanks you very much for any suggestions

drm7
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Post by drm7 » Wed Nov 16, 2011 2:33 pm

oem7110 wrote:This is another questions referring to S&P contracts

If today is 10 Dec 2011, does the front month at Dec Jan 2012 contract?
If today is 10 Jan 2012, does the front month at Dec Feb 2012 contract?
and so on ...

If I trade S&P 500, which one plays an active role on representing S&P contract?
ESZ11.CME E-Mini S&P 500 Dec 11
SPZ11.CME S&P 500 Dec 11
Does anyone have any suggestions?

Thanks you very much for any suggestions
ESZ11 is by far the most active contract of these two you mentioned and is the current "front month." Once December (ESZ11) expires, you roll to March (ESH12).

oem7110
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Post by oem7110 » Wed Nov 16, 2011 5:46 pm

drm7 wrote: ESZ11 is by far the most active contract of these two you mentioned and is the current "front month." Once December (ESZ11) expires, you roll to March (ESH12).
If March (ESH12) Expires, does it roll to Jun (ESM12)?
If Jun (ESM12) Expires, does it roll to Sep (ESU12)?
If Sep (ESU12) Expires, does it roll to Dec (ESZ12)?
and so on ...

When will be the last day on trading on those contract months?
Thanks everyone very much for any suggestions

drm7
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Post by drm7 » Wed Nov 16, 2011 7:48 pm

oem7110 wrote:
drm7 wrote: ESZ11 is by far the most active contract of these two you mentioned and is the current "front month." Once December (ESZ11) expires, you roll to March (ESH12).
If March (ESH12) Expires, does it roll to Jun (ESM12)?
If Jun (ESM12) Expires, does it roll to Sep (ESU12)?
If Sep (ESU12) Expires, does it roll to Dec (ESZ12)?
and so on ...

When will be the last day on trading on those contract months?
Thanks everyone very much for any suggestions
You are correct on the contracts to roll into.

I would not hold until last trading day. Most people roll when the volume on expiring is less than the volume on the upcoming contract. Do a search on this forum under "roll dates" and you will find pages and pages of discussion on this topic.

A great resource is the CME website. www.cme.com. You can look up contract specs, roll dates, margins, and much, much more for every contract they trade (which includes ES.)

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Post by oem7110 » Thu Nov 17, 2011 10:10 am

Thanks everyone very much for suggestions

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