The Importance of Roll Forward

Knowing when to roll forward into the next quarter’s future contract is a vital piece to trading. Yesterday was no exception. If you were observing the December Nasdaq contract than you did not see the failed auction that occurred at noon ET. We traded two-ticks above Wednesday’s high and immediately failed back lower followed by a big swoosh down.

These little contextual pieces are the details that add up when you are trading.

Moving into today we have futures trading lower. The Nasdaq after hours continued lower for most of the session. On a day-by-day seasonality study of the last 30 years, today has the second lowest odds of being a positive gain session. Ranging 44.25 points, the session is normal statistically, with the 1^st sigma range of a down day being about 46 points. Volume is a bit higher than first sigma as it appears most participants have now migrated to the March contract.

Yesterday had many characteristics of a trend day early on but we saw that negated. That force of supply is likely to carry into today’s session. At 9:55am U of M will be releasing their survey and we have an otherwise quiet economic docket.

I am still sorting some issues out on my charting, but my primary expectation is for price to trade lower to test the overnight low 4189.25 before finding responsive buyers and balanced, two-way trade ensues.