Volume at Expiration (CL/RB/HO)

As a future contract approaches the expiration date, open interest rolls to the back month and volumes in the front month dwindle. Traders holding large positions in the front month with the intention of rolling prior to expiration are faced with the decision of when to roll. Waiting until the expiration date is not advisable due to illiquidity. One day prior to expiration is also relatively illiquid. The following figures show the median intraday volume aggregated over 15 minute intervals for Crude Oil (CME:CL), Gasoline (CME:RB), and Heating Oil (CME:HO). The analysis suggests that large traders should roll at least 2 days prior to expiration to avoid serious liquidity constraints. The legend in these figures show the number of days to expiration, with 0 being the expiration date.


Crude Oil (CME:CL)

Gasoline (CME:RB)

Heating Oil (CME:HO)