Intermediate Guide To E-Mini Futures Contracts - Rollover Dates And Expiration
  1. Intermediate Guide To E-Mini Futures Contracts - Introduction
  2. Intermediate Guide To E-Mini Futures Contracts - Popular E-Mini Contracts
  3. Intermediate Guide To E-Mini Futures Contracts - Volume And Volatility
  4. Intermediate Guide To E-Mini Futures Contracts - Margin
  5. Intermediate Guide To E-Mini Futures Contracts - Rollover Dates And Expiration
  6. Intermediate Guide To E-Mini Futures Contracts - E-Mini Brokers
  7. Intermediate Guide To E-Mini Futures Contracts - Tax Advantages

Intermediate Guide To E-Mini Futures Contracts - Rollover Dates And Expiration

A contract month is the month in which a futures contract expires. All of the e-mini stock index futures contracts trade on the March quarterly expiration cycle (March, June, September and December). Each month is represented by a single letter:

  • H = March
  • M = June
  • U = September
  • Z = December
Each contract is known by its ticker symbol, the contract month and the year in which the contract is traded. The complete name for the March 2012 TF contract, for example, would be "TFH12" (see Figure 4).


Figure 4 - Each futures contract is known by its ticker symbol, contract month and year in which the contract is traded.


E-mini contracts are similar to other futures contracts in that they have a defined length and specified expiration. The e-mini stock index futures expires at the same time and to the same price as their larger counterpart contracts (for example, the e-mini S&P 500 contract expires at the same time as the standard, full-sized S&P 500 contract). The expiration date (or final trading day) is the last day that a futures contract is valid. Since futures contracts have delivery months (or contract months, such as H, M, U and Z), the expiration is the time and the day that the particular contract stops trading. The final settlement price for the contract is also determined. Expiration for the e-minis stock index futures contracts (including ES, NQ, YM and TF) occurs at 9:30 am EST on the third Friday of the delivery months, such as the third Friday in March for a March contract, or the third Friday in December for a December contract.

When a contract expires, it does not expire worthless (like an options contract would). Instead, an open position rolls over to the new contract.

Rollover
Contract Rollover occurs on the Thursday a week before the expiration Friday - for the e-minis, this is the second Thursday of March, June, September and December (if the Rollover month starts on a Friday, the Rollover is the first Thursday of the month). The next contract becomes the "lead contract" or the "front month". Even though the previous contract continues to trade until expiration, the majority of trading moves to the next contract. For example, if the TFU12 contract expires on September 21, the rollover date would be the previous Thursday, or September 13, in this case. The majority of trading would switch to the December contract (TFZ12) as of market open (9:30 am EST) on the rollover date.

Figure 5 illustrates the increase in volume that switches to the next contract as of the Rollover date. In the example, the June and September ES contracts are shown. The Rollover (June 7) date is indicated by the yellow arrows, along with the June contract's expiration. Notice the increase in volume for the September contract that coincides with the Rollover date. Trading for the June contract ceases as of the expiration.

Figure 5 - These daily charts show the June and September 2012 ES contracts. The Rollover (June 7) dates are indicated by the yellow arrows, along with the June contract\'s expiration. Notice the increase in volume for the September contract that coincides with the Rollover date. Chart created with TradeStation.


Trading the Contract Rollover
Many active traders will trade the "old" contract on Rollover day, and then switch to the "new" contract on the next day, or make the switch on the actual Rollover day. Figure 5 shows that after Rollover, the volume of the current contract (June) wanes, while the volume of the upcoming contract (September) increases. In general, traders should move into the new contract as volume moves from one to the other. Some traders avoid Rollover day altogether because it is considered by many to be choppy and challenging to trade. It is important to do your own homework and research to determine if your trading strategy is affected by Rollover trading.

Continuous Contracts
The continuous contract is a combination of the various delivery months of a contract. It allows traders and investors to view the historical price movement (and historical technical analysis) over multiple contracts. The continuous contract is vital to strategy development and backtesting, since it accounts for years of trading data. Often, the symbol for the continuous contract is the contract's ticker symbol, preceded by the "@" symbol. The continuous NQ contract, for example, would be designated "@NQ."

Figure 6 shows a weekly chart of the continuous NQ contract. Notice that the chart appears as seamless as that of a regular stock chart. Typically, the continuous contract is used for analysis purposes only and not for actual trading.

SEE: Backtesting: Interpreting The Past

Figure 6 - The continuous NQ contract, shown on a weekly chart.
Intermediate Guide To E-Mini Futures Contracts - E-Mini Brokers

  1. Intermediate Guide To E-Mini Futures Contracts - Introduction
  2. Intermediate Guide To E-Mini Futures Contracts - Popular E-Mini Contracts
  3. Intermediate Guide To E-Mini Futures Contracts - Volume And Volatility
  4. Intermediate Guide To E-Mini Futures Contracts - Margin
  5. Intermediate Guide To E-Mini Futures Contracts - Rollover Dates And Expiration
  6. Intermediate Guide To E-Mini Futures Contracts - E-Mini Brokers
  7. Intermediate Guide To E-Mini Futures Contracts - Tax Advantages
RELATED TERMS
  1. Contract Month

    The month in which a futures contract expires. The contract can ...
  2. Front Month

    Used in futures trading to refer to the contract month with an ...
  3. Spot Delivery Month

    The nearest month when a futures contract matures. The spot delivery ...
  4. Delivery Date

    1. The final date by which the underlying commodity for a futures ...
  5. Continuous Contract

    A reinsurance contract that does not have a fixed contract end ...
  6. Assignable Contract

    A futures contract with a provision permitting the contract holder ...
RELATED FAQS
  1. What is the difference between forward and futures contracts?

    Fundamentally, forward and futures contracts have the same function: both types of contracts allow people to buy or sell ... Read Answer >>
  2. What does it mean to roll a derivative contract?

    Find out more about derivative securities, how to roll forward a derivative contract and what it means when a derivative ... Read Answer >>
  3. How do the investment risks differ between options and futures?

    Learn what differences exist between futures and options contracts and how each can be used to hedge against investment risk ... Read Answer >>
  4. How can a futures trader exit a position prior to expiration?

    A futures contract is an agreement to buy or sell a commodity at a pre-determined price and quantity at a future date in ... Read Answer >>
  5. How can I calculate the notional value of a futures contract?

    Learn how the notional value of a futures contract is calculated, and how futures are different from stock since they have ... Read Answer >>
  6. How do S&P 500 futures work?

    Learn about the mechanics of S&P 500 futures contracts, a type of stock index future introduced by the Chicago Mercantile ... Read Answer >>
Hot Definitions
  1. Demand Curve

    The demand curve is a graphical representation of the relationship between the price of a good or service and the quantity ...
  2. Goldilocks Economy

    An economy that is not so hot that it causes inflation, and not so cold that it causes a recession. This term is used to ...
  3. White Squire

    Very similar to a "white knight", but instead of purchasing a majority interest, the squire purchases a lesser interest in ...
  4. MACD Technical Indicator

    Moving Average Convergence Divergence (or MACD) is a trend-following momentum indicator that shows the relationship between ...
  5. Over-The-Counter - OTC

    Over-The-Counter (or OTC) is a security traded in some context other than on a formal exchange such as the NYSE, TSX, AMEX, ...
  6. Quarter - Q1, Q2, Q3, Q4

    A three-month period on a financial calendar that acts as a basis for the reporting of earnings and the paying of dividends.
Trading Center