(Chart courtesy of optionsHOUSE )
Expiration is Friday, and index traders are looking to the New Year.
Volume in the ESH6 (March '16) S&P 500 e-mini futures contracts totaled 2.62 million yesterday, compared with 1.25 million for their December counterparts (ESZ5) . It was the second straight session that traders opted for the longer-dated futures and away from December.
Known as rolling, the process occurs four times a year for stock futures as expiration approaches. By the end of the week, almost all activity will focus on ESH6. The same thing happens in Nasdaq 100 contracts (NQ) . WTI Crude Oil Futures (CL) , on the other hand, roll every month.
The change comes with the S&P 500 down about 4 percent from its high earlier this month. Equities have slid along with energy prices and as investors look for the Federal Reserve to raise interest rates on Wednesday, which would be the first increase in nine years.
Every point in ES represents $50 in client accounts, so a trader who got short on the high one week ago would have made more than $3,000 by yesterday. The initial margin requirement is $5,060.
For more information on futures, please visit The Futures Institute (Powered by CME Group) .
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