We have a few March expiries this week. The key to knowing when to rollover to the next month is to:
A) Know when your contract expires. Check the exchange website for your product. Here is the link for the S&P:
B) Watch volume and open interest in both contracts. When the front month starts to drop and the back month picks up, it’s time to change.
As a general rule most activity ‘rolls’ in the week leading up to expiry. The exceptions are short term interest rates (STIRs) and deliverable commodities. STIRs will tend to roll some months before expiry. Deliverable commodities will roll ahead of the First Notice Day as opposed to expiry.
The growth commodity index funds has also altered when volume rolls over given they tend to have a fixed time when their contracts rollover (Google “Goldman Roll”).