Rollover Part 2

by Larry Levin

Today's ES volume in December was understandably low but the NYSE does not have a "roll over" event now. Nevertheless, its volume was once again atrocious! NYSE consolidated volume was one of the lowest/worst days in months.

Yesterday I said, "The current market condition - low volume and no volatility - is so bad one might think it couldn't get any worse. Sadly, I do not think that's true. Starting Thursday the quarterly roll over from September to December begins: December is now "top step." At this time volume is split between the current contract of September and the new contract of December; thus trading volume, and most likely volatility, will continue to deteriorate until at least next Tuesday. Since the September contract doesn't expire until next Friday, volume may be bad all the way through the end of next week." Nothing has changed.

Lets hope that next week is much more lively.



Previous Day's Trading Room Results:

Trade Date: 9/9/10

E-Mini S&P Trades*
(before fees and commissions):


1) FT buy @ 8:40am at 1103.50 = -1.25 (1)

2) VA sell @ 2:24pm at 1100.75 = b/e (1)

3) Algorithm positions (1)

4) “Reading the Tape” positions (0)…combined Secret’s, Algo, & “Reading the Tape” total… -1.25



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