TRADING THE FTSE ROLL
Thursday was by far the worst trading day of the year for me. This post should be titled “How not to lose your shirt on rollover day”.
I did trade the US indexes before, and they have a pretty specific rollover. I believe it came from the pits haveing a specific rollover day.
The US indexes roll the Thursday before the end of the contract. I was trading the FTSE (Z) and it was weird, and the contract wasn’t really rolling.
THE ES & FTSE ROLL DIFFERENTLY
I made two studies on the roll of the futures contracts between the S&P E-mini (ES) and the FTSE (Z). The x-axis is days remaining until the end of the contract. I also added a chart of the difference between the front month contract and the upcoming contract as well as the change from day to day.
What really stands out is the ES rolls 6 days before the end of the contract, which is the Thursday before the end of the contract. What surprised me was the FTSE roll.
The FTSE split the trading volume between the two contracts and them BAM! All the volume switches.
REALLY, IT WAS MY FAULT
I should have noticed. It was just that I had put rollover out of my mind, and I was going to trade until the end of the contract.
I REALLY should have noticed something when the fat-fingered error happened, but I was happily trading away. Wednesday I did fine, and I was just complacent.
The FTSE roll is not nearly as dramatic as the E-mini S&P, and next roll, either take the day off on Thursday before expiration or trade really carefully.
Probably going to just take the day off.