I disagree, I'd argue that exactly 4 times a year, passive funds must sell, and must buy again. Contract expiration dates cause huge volumes of activity from so

I disagree, I'd argue that exactly 4 times a year, passive funds must sell, and must buy again. Contract expiration dates cause huge volumes of activity from so-called "passive" funds. The seconds, minutes, hours, and (occasionally) days that elapse between rolling out from current month to forward month contracts are all about the fund managers pain threshold. The exception to this rule is if your fund has governance specifying that rollovers have to happen ASAP(as in, as each <N> contracts are sold from the current month, <N> forward month contracts must be bought before repeating the process), which is not common. edit: Sometimes I'm blinded by the part of "market" I operate within, which is the commodity futures market. I could be(and likely am) completely wrong when you apply this to the securities market, which I am less familiar with.