Simple Tools to Compare Expiring and New contract Months in SierraChart

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There are several simple ways to compare the trading activity in two different expiration months. It is especially important to monitor the shift when we approach the first notice date.

1. 1 min bars: Check the overall ‘health of the bars’
2. 1 min volume and avg volume: Compare the traded volume in a given period and the difference between the average volume traded during a 1min period
3. DOM: total daily volume: Compare the daily volume shown at the volume profile histogram
4. DOM: depth total: Compare the overall market depth totals
5. DOM: size of BID/ASK: Sizes at each bid and ask levels
6: DOM: # of traded contracts (prints): Which expiration is traded more actively
7. Daily: volume: Compare the daily volume on a daily chart
8. Daily: Avg Volume: Compare the average volume of the different expirations
9. Daily change of Open Interest: See how drastically the Open Interest Changes during the expiration week

When trading short term, based on ordeflow, it is basically a good idea to look for the most active expirations.

Trade the new contract month on US Treasuries from the First Notice Date

Useful links:

Futures Expiration Calendar
https://www.barchart.com/futures/futures-expirations
http://www.cmegroup.com/tools-information/calendars/expiration-calendar/
http://www.eurexchange.com/exchange-en/trading/trading-calendar

Futures Options Expiration Calendar
https://www.barchart.com/futures/options-expirations

Link to chartbook: https://goo.gl/nvqzjc

https://www.patreon.com/ticinotrader

https://www.ticinotrader.ch/mentoring/
https://www.ticinotrader.ch/training/
https://www.ticinotrader.ch/playbook/

Music:
“Apero Hour” Kevin MacLeod (incompetech.com)
Licensed under Creative Commons: By Attribution 3.0 License
http://creativecommons.org/licenses/by/3.0/

Comments

ihtfp004 says:

Thanks for these pro tips.  I've never known there were so many ways to determine when to shift to the next month contract.  I've always used #3 but I'll have to take all the points into consideration to determine the optimal time to roll over.

Trader Ticino says:

IMPORTANT: don't forget to update your chartbook(s) what you use to record market depth data to the new expiration symbols during the rollover, otherwise you will not be able to collect data for the new expirations!

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