When does the front month change (rollover) in the Equities, Interest Rates, and Currencies?
The pit committees of the respective trading pits determine the front month change in all three-product groups. Generally, the front month rollover in the Equities occurs one week prior to expiration (i.e. the LTD for the March 2001 Equities futures was March 15, 2001, the front month rollover occurred on March 8, 2001). Following that, June S&P’s become front month on March 12th as it the case with the Currencies. The rollover in the Interest Rates products does not follow any general rule and is solely determined according to the pit committee’s discretion. Generally base don volume and open interest. Here’s the basis behind what they are asking. When a customer places an order in the market the clerk assumes the customer wants to trade the front month. Come March 8th (and March 12th) the clerk will be assuming trading June for the customer rather than March. If a customer wants to trade March they have to say March.
