ES Roll Dates and How to Switch Contracts Cleanly
Most beginners have no idea when ES rolls or how to switch contracts without getting terrible fills. ES roll dates follow a strict schedule, and liquidity shifts in predictable ways. If you don’t understand this, you end up trading the wrong contract — the one nobody else is using.
How ES Roll Dates Work
ES contracts follow the quarterly expiration cycle: March (H), June (M), September (U), December (Z). But here’s the key: traders roll early — long before expiration.
| Month Code | Contract Month |
|---|---|
| H | March |
| M | June |
| U | September |
| Z | December |
When Traders Actually Roll
The real roll happens on the Thursday before the second Friday of the contract expiration month. That’s when liquidity jumps from the expiring contract to the next one.
Typical pattern:
- Day before roll: liquidity split
- Roll day: majority shifts to new contract
- Next day: old contract becomes unusable
How to Know Which Contract to Trade
Check depth, volume, and the DOM. The contract with the highest volume is the real ES for the day. Trading the wrong one means:
- Worse fills
- Wider spreads
- No follow-through
How to Switch Contracts Cleanly
Switching contracts is simple — people just overthink it.
1. Close or flatten your position
Never roll while still holding a trade unless you know what you’re doing.
2. Change your chart and DOM symbol
Example: from ESZ5 → ESH6.
3. Rebuild your levels
New contract means slightly different prices. Rebuild your:
- Session highs/lows
- VWAP
- Opening range
- Premarket levels
If you need help re-marking key levels, read Session Highs/Lows & VWAP.
4. Check ATR again
New contract = new volatility. If you're not using ATR properly yet, review ES ATR Volatility Zones.
Final Takeaway
ES roll dates aren’t complicated. The roll schedule is fixed, liquidity shifts predictably, and switching contracts is simple if you follow the volume. Trade the contract everyone else is trading — not the one that’s expiring in a week.