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Milk Class III Roll dates

Posted: Sat Jan 19, 2013 7:03 am
by rhc
If someone has a spare minute (or two) could you please post the roll dates for CME Milk Class III as suggested by your data provider.
(A web search at CSI under "market data specs" says "webpage cannot be found". At Pinnacle, Milk doesn't seem to be offered. So no luck there)

I would like to compare these roll dates with my roll dates shown below
Upon review of the volume and OI of the various Milk contracts I've reached the conclusion that perhaps my dates are not correct hence my desire to compare these dates to what CSI or Pinnacle etc. show.

Posted: Sat Jan 19, 2013 11:36 am
by 7432
I would suggest not using any generic or data service recommended roll dates for milk, the contract dies but open interest stays high. and while there might be decent end of day volume in a contract there might not be a bid or ask during the trading day, the volume would have just come from people legging spreads.
watch the market while its open to see where the tightest bid/ask takes place and pay attention to what happens during a significant move.
then use your data provider to set up a few different roll dates to test.
there is a large difference in contract volatility and test results between roll dates and you'll want to be sure what you choose can be traded.
I would also suggest taking signals from 2 or 3 different roll dates or taking signals from one roll date and splitting the total position into 2 roll dates.

Posted: Sat Jan 19, 2013 3:44 pm
by sluggo
I suggest you experiment with the idea of only trading the March, June, Sept, and Dec contracts of class III fluid milk. Try various rollover schedules and see whether you're happy with the volume and open interest of the Old, and the New, contract in the vicinity of the rollover. I think you may be pleased with something like
  • Roll out of March Milk and into June Milk, on February XX
  • Roll from June to Sept Milk, on May XX
  • Roll from Sept to Dec Milk, on Aug XX
  • Roll from Dec to March Milk, on Nov XX
where XX is a date somewhere in the zone between the 16th and 29th.

Deciding not to trade all available contract months, is an idea that can be applied to other products as well. I myself don't trade all contract months of Eurodollars, for example. Nor Crude Oil either. But hey that's just me; feel free to risk your own money in whatever way you see fit.

Posted: Sat Jan 19, 2013 7:36 pm
by rhc
Thanks kindly for the excellent advice & suggestions.