Rollover
Also called: rollover, roll over, rolling a position, rollover percentage.
How it is read
Rollover is why open interest in an expiring contract can collapse. No position has to be abandoned for that to happen. The front series is the one about to expire. In the sessions before expiry it drains. The next series builds at the same time. It often builds by a similar amount. So the total across both series is the figure to read. It says whether exposure is leaving, or merely moving on. A high rollover is commonly described as positions being carried forward. It does not say which side those positions are on. It does not say who holds them.
What it does not tell you
A rollover figure describes what happened. It does not describe what is expected. Every open contract has a long side and a matching short side. So a high rollover is not evidence of direction. Reading it as bullish or bearish adds a claim the number does not carry. The percentage also depends on which series are compared. It depends on the cut-off used as well. The cut-off is the time of day the count is taken. Two sources can pick different rules. So figures from two sources are not necessarily measuring the same thing.
See it in an experiment
Market X-Ray: Open Interest — Create, transfer and close example contracts. Compare open interest, volume and rollover arithmetic.
Related concepts
Expiry Week: Open Interest Falling in One Series and Building in the Next
In the days before a derivatives expiry, open interest in the expiring series falls to almost nothing. Every contract either settles or is closed. Much of it does not disappear. It reappears as fresh open interest in the next series, as holders move a position forward. That movement is called rollover. Reading the fall in the expiring series alone says positions are being abandoned. Reading both series together often says the opposite.
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