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To: Jeff Jordan who wrote (30803)3/2/2000 11:24:00 AM
From: Patrick Slevin  Respond to of 50167
 
As a rule of thumb you will see the action pick up on the next Contract about the Thursday of the week before Expiration. Generally that is the day I roll.

The Front Month (in this case the "H") will continue to trade up until the Open on Expiration Friday. But it becomes very thin and you should see even CNBC swap out by the prior Thursday or perhaps the prior Friday.

So presume for March the rollover will be on the 9th, next Thursday. It may become confusing because some sources will tell you the PREM on the March, some on the June; some will quote the March, some the June. On Friday the 10th it will all work out, but just be aware you may be seeing different data depending on who you are looking at during the day of the 9th.