Index Futures "roll" the Thursday of the week before the contract actually expires (option expiration day every quarter). It will still trade, but all the volume goes out to the new contract the Thursday of the week before.
The switch usually happens about a week before expiration, doesn't it? Looking at the market depth (100-300 contracts on each side) makes me wonder if it's already switched.
lee, a good trick is to load both sept and dec ym future symbols, and when you see the dec start to produce bigger volumes, you know its time to trade dec
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