Today is Rollover Day, when index futures traders begin to change from the expiring December 2010 contract (ESZ0) to the new March 2011 contract (ESH1).
Today as traders begin trading the March contract there will be many retail and floor traders still active in the December contract. But the majority of institutional traders will start to move their positions into ESH1.
Pay particular attention to the 10:30 to 11:00 a.m. period in the morning session, as the move into the new contract begins to pick up, and as volume in the old contract begins to fall off.
There is often a lot of confused and choppy trading on Rollover Day, and inexperienced traders are well advised to stand on the sidelines and watch today.
There will be three sets of trading data in use: (ESZ0, ESH1 and ES#F). High volatility should be expected and we shouldn’t be surprised if an unexpected move occurs.
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ESH1 daily chart
ESH1 intraday – 60-minute bars
