Futures Rollover and Expiration

Unlike a stock, a futures contract does not exist forever. Each one is listed for a specific month and stops trading on a set date. If you plan to hold a position for more than a few days, or you trade near the end of a contract's life, you need to understand expiry and how to move to the next contract.

Key points

• Every futures contract has an expiry month and a last trading day.
• Ticker symbols include a month code and a year digit. ESZ6 is the December 2026 E-mini S&P 500.
• Equity index futures trade in a quarterly cycle: March (H), June (M), September (U) and December (Z).
• "Rolling" means closing the expiring contract and opening the same position in the next month.
• The price difference between two months is not a loss. It reflects interest, dividends or storage costs.
• Cash-settled contracts settle to a final price. Physically delivered contracts must be closed before the delivery process starts.

Every contract expires

Futures are listed in specific months. Equity index futures such as ES, NQ and their micros trade in a quarterly cycle: March, June, September and December. CME lists five quarterly months for the Micro E-mini equity index contracts (four for the Micro Dow), but almost all trading happens in the nearest one. Crude oil (CL) lists every calendar month. Gold (GC) and Treasury futures have their own cycles, shown on each contract's CME spec page.

Month codes

CME uses one letter for each month, followed by the year:

Examples: ESZ6 is the December 2026 E-mini S&P 500. MNQH7 is the March 2027 Micro E-mini Nasdaq-100. CLF7 is January 2027 crude oil. Some platforms use two-digit years (ESZ26). Source: CME Group month codes.

When equity index futures expire

CME's equity index futures expire on the third Friday of the contract month. The final settlement value is based on the Special Opening Quotation (SOQ) of the index on that morning, and the micro contracts use the same SOQ as their E-mini counterparts. If you still hold an ES or MES position at that point, it is settled in cash to that value.

Rolling over

As expiry approaches, traders move from the expiring contract to the next one, so volume shifts too. For equity index futures this usually happens in the week or so before expiry. Most platforms show volume for each month. Trade the contract with the most volume, because it has the tightest spreads and the most reliable fills.

To roll, you close the old contract and open the new one. Many platforms offer a calendar spread order that does both in one transaction.

Worked example: rolling a long MES position

You hold 2 MES December (MESZ6) long, bought at 5,980.00. In mid-December, MESZ6 is at 6,000.00 and March (MESH7) is at 6,050.00. These prices are illustrative.

• Sell 2 MESZ6 at 6,000.00: profit = 20 points × $5 × 2 = $200, realized.
• Buy 2 MESH7 at 6,050.00: your new entry price.

The 50-point gap between the months is not a loss. Your profit so far is the $200 you just realized. From here, your result depends on how MESH7 moves from 6,050.00. The cost of rolling is the commission on two extra round turns plus any spread you pay. If costs are $2.00 per round turn per contract, rolling 2 MES costs about $4.00 plus slippage.

Why months trade at different prices

The difference between two contract months is called the calendar spread. For equity index futures it mainly reflects interest rates minus expected dividends until expiry. For commodities it reflects storage and financing costs and supply and demand. When later months trade higher, the market is in contango. When later months trade lower, it is in backwardation.

This is why charts can show a jump on the roll date. Many platforms offer a "continuous" or "back-adjusted" chart that stitches months together and removes the gap. Check which one you are looking at before drawing support and resistance.

Physical delivery

CL, GC, SI, 6E and Treasury futures such as ZN and ZB are physically delivered. If you hold them into the delivery period, you could be required to make or take delivery of the underlying product. Retail brokers and prop firms close these positions before the delivery period, sometimes several days before expiry. Check your broker's or firm's liquidation schedule.

Cash-settled contracts such as ES, NQ and MCL simply settle to a final price. MCL is cash-settled and expires one business day before the matching CL contract, so the two do not expire on the same day.

Worked example: why it matters for crude

Crude oil can move sharply near expiry as traders without storage close positions. A $1.50 move on one CL is 150 ticks × $10 = $1,500. On one MCL it is $150. If you trade crude, roll well before your broker's cut-off rather than in the last few days.

Practical checklist

• Know the expiry and roll dates for every contract you trade.
• Switch charts and order entry to the new month at the same time.
• Cancel any working orders in the old month after rolling.
• For physically delivered contracts, know your broker's liquidation deadline.

Next lesson

Many traders first trade futures through a prop firm evaluation, which adds its own rules on top of everything covered so far. Continue with How Prop Firm Evaluations Work: Drawdowns, Targets and Rules.

Frequently asked questions

What happens if I forget to roll ES?

ES is cash-settled. If you hold it to expiry, your position is closed at the final settlement value and the profit or loss goes to your account.

What do H, M, U and Z mean?

They are CME month codes for March, June, September and December, the quarterly months used by equity index futures.

Is the price difference between contract months a cost?

No. It reflects interest, dividends or storage until expiry. Your cost of rolling is commissions and any slippage.

Can I be forced to take delivery of crude oil?

Retail brokers and prop firms close CL positions before delivery, so you won't receive oil. But if you are still in the position near their deadline, they will close it at the market price.

Which month should I trade?

Usually the one with the most volume, which is normally the nearest month until the roll period.