Contract Expiration And Roll

Every futures contract expires. Traders don’t hold the same symbol forever. They “roll” to the next contract when volume shifts and expiration gets close.

What Contract Expiration Is

A futures contract has a specific expiration month and last trading day. After that point, the contract is no longer tradable.

For index futures like ES, MES, NQ, and MNQ:

• Contracts are listed quarterly (March, June, September, December)
• Each contract has a code combining the symbol + month code + year

Month Codes

Common month codes used in futures:

• H – March
• M – June
• U – September
• Z – December

Example: ESH4 would be an S&P 500 March contract for a given year.

Why Traders Roll Before Expiration

Most traders never trade all the way into the final days of a contract. As expiration approaches:

• Volume starts to shift to the next contract month
• Bid/ask spreads in the expiring contract can widen
• Price behavior can get choppy as positions are closed or hedged

To avoid thin liquidity and odd price behavior, traders move to the next active contract early. This process is rollover.

When Roll Usually Happens For Index Futures

For major index futures, market participants typically start rolling to the next contract before the current one is very close to expiration. The exact timing can vary, but the pattern is:

• Volume gradually increases in the new contract
• At some point, the new contract has more volume than the old one
• Most traders and charting platforms switch their “front month” symbol to the new contract

The detailed roll schedule is published by exchanges and also shown on many broker and data provider calendars.

What Roll Looks Like On A Chart

Around roll time, you may notice:

• Sudden changes in volume on your usual contract symbol
• A price gap between the old and new contracts
• Indicators that look different when you switch symbols

The gap comes from small pricing differences between contract months. Charts that are built from a continuous contract may smooth or adjust these differences depending on the data provider.

Continuous vs Individual Contracts

Data providers often offer:

• Individual contract charts – one symbol per specific contract month
• Continuous charts – a stitched-together history of multiple contract months

Continuous symbols are convenient for long-term analysis, but exact roll rules and adjustments are defined by the data provider.

How Platforms Handle Roll

Many trading platforms:

• Automatically switch the default contract symbol when the new one becomes front month
• Provide a prompt or calendar showing recommended roll dates
• Allow you to choose between different roll rules for continuous data

The platform’s documentation explains exactly how its continuous data and roll logic are handled.

Key Points To Remember

• Every futures contract expires on a specific schedule
• Traders roll out of expiring contracts into the next month before liquidity dries up
• Exchange calendars and broker documentation show exact last trade and roll dates
• Price gaps between contract months are normal and depend on how the market prices each month