"On Wednesday close your short for one and go long the other? Or visa versa." I don't know why you want to do that.
Any new trades that you take on Wednesday afternoon you might want to take in the June contract. Look at the bid-ask spread and see if they are close enough for you. Or just pass and wait for Thursday morning. On Thursday, the volume will start coming out of the March contract and switch to the June contract. After a few hours most of the volume will be in June. The March contract doesn't expire until next Friday (3/16), but some brokers won't let you initiate new positions in the March contract after this Wednesday, though you can easily close out any open positions up until the contract expires. No matter what your broker's policy is, after a few hours on Thursday, the volume in the March contract will dry up, so you really want to be trading June.
I don't know if that answers your question. Since I have not yet ever held futures over night, I just start trading the new contract on the morning of roll day.
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