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Hi guys could anyone tell me when is the best part of the month to change the contract date for CL. example CL05-CL06. Because obviously the data is quite different between rollovers. thanks
Can you help answer these questions from other members on NexusFi?
The following applies to many (if not most) futures contracts especially those from the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT).
Rollover is 8 days before expiration.
Expiration is the …
Generally, CL changes on the third Thr of the month. However most people just advise you trade the contract with the most volume. Last month we skipped an entire month ahead, as even though it was March -- and you normally would trade the April contract -- the May contract had more volume. Now, this month it's April and the June contract just took over the May contract on volume yesterday.
So, I switched to CLM0 from CLK0 yesterday (to 06-10 from 05-10).
If you use NT, just add the next month to market analyzer so you have both CL 05-10 and CL 06-10, for instance. Then switch to the contract with the highest volume, which happens around the third Thr of each month, but I've seen it fluctuate +/- 2 days.
The price action between the two contracts is usually nearly identical, but some indicators like pivots, fibs, or other S/R based indicators will be dramatically different due to back adjusted pricing. This can also affect things like day lows or highs.
There is a lot of good information in the link above.
CL is one of the most dangerous contracts to trade around expiry. The reason for this is the strange delivery site: a pipeline storage in Cushing, Oklahoma. Sometimes there is not enough product available and you will get a short squeeze, sometimes there is too much product and nobody wants to take physical delivery. This leads to increased volatiliy in the old contract during mid-month, see chart attached.
Actually it is a joke that world oil prices are linked to a pipeline depot in Oklahoma. A more appropriate delivery site would be any major port at the gulf coast as this would allow for physical arbitrage.
NinjaTrader 7 currently has false rollover dates for CL, as they have chosen the expiry date, which is too late. You should rollover the contract latest 2 days before expiry, but as soon as volume shifts to the new contract.
More details on expiry and physical delivery can be found here:
I always have Market - Analyzer running, filled by the current and the two following contracts, so I'm able to see the volume traded of the different contracts whenever I want.
In my calender I have a reminder a month forward starting two or three days before the contract - change could happen.
These days I look every day before the session begins, which of the contracts is traded most.
Is the volume of one of the newer contracts suddenly higher, I switch over and push the reminder one month forward to remind me then again.
The day most of the traders switch over varies every month a bit.
Regards
Klaus