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IMM dates and futures rolls

Currency futures at the Chicago Mercantile Exchange expire on the third Wednesday of March, June, September, and December. Around those dates, traders roll positions from the expiring contract to the next.

The roll creates large flows in the days before expiry. Spot markets feel it as unusual volume and sometimes odd price behaviour near round numbers.

Hedgers, funds, and arbitrageurs adjust positions. The spot-futures relationship, which is normally tight, can show gaps.

For scalpers, the impact is mostly indirect: a bit more noise, a few stronger moves around the roll time. The effect is more pronounced in the hour around the futures market's daily settlement.

Checking the dates in advance costs nothing. Strategies relying on clean mean reversion may find those days more erratic.

The roll tends to show most clearly on the pairs with the heaviest futures activity: EURUSD, USDJPY, GBPUSD and AUDUSD. Minor pairs barely notice. A look at tick counts across the roll week on a major pair, compared with the previous week, usually shows the bump without any fancy tooling.

Do roll weeks in March, June, September, and December show different volatility or spread behaviour on the pairs traded?

I never paid attention to the roll calendar until a September a couple of years back, when my mean reversion trades on EURUSD went from steady to frustrating for about three days straight. Nothing on the news calendar explained it. A friend who trades the futures pointed out it was roll week, and once I looked at the tick counts the jump was obvious.

Since then I just mark the roll days in my diary at the start of each quarter. I don't stop trading, but I cut size by roughly a third on the two days before expiry and I'm quicker to take a small profit instead of waiting for the full return to the mean, because the moves overshoot more than usual.

On spreads I honestly haven't seen much difference on my feed. It's the noise and the occasional sharp push through a round number that changes, and that matters more for my setups than the cost does.