I change my contract months when the added total of Open Interest plus Volume for a given contract becomes greater than the front month contract. It appears that this condition will likely occur today.
[OI(n) +V(n) > OI(f) + V(f)], where:
OI - Open Interest
V - Volume
n - new month
f - front month
If I am forced to make a choice when it is a close call, I will usually trade the contract month with the greatest volume. Volume, for me, represents liquidity!
Wednesday, February 13, 2008
Change Contracts Tonight
Labels:
contract month,
formula,
futures,
Open Interest,
volume