1. Beginner's Guide To E-Mini Futures Contracts: Introduction
  2. Beginner's Guide To E-Mini Futures Contracts: What Are The E-Minis?
  3. Beginner's Guide To E-Mini Futures Contracts: E-Mini Characteristics
  4. Beginner's Guide To E-Mini Futures Contracts: E-Mini Specifications
  5. Beginner's Guide to E-mini Futures Contracts: Popular E-mini Contracts
  6. Beginner's Guide To E-Mini Futures Contracts: Who Trades The E-Minis?
  7. Beginner's Guide To E-Mini Futures Contracts: Trading The E-Minis
  8. Beginner's Guide To E-Mini Futures Contracts: Other E-Mini Contracts
  9. Beginner's Guide To E-Mini Futures Contracts: Volume and Volatility
  10. Beginner's Guide To E-Mini Futures Contracts: Margins
  11. Beginner's Guide to E-Mini Futures Contracts: Rollover Dates and Expiration
  12. Beginner's Guide To E-Mini Futures Contracts: Brokers
  13. Beginner's Guide To E-Mini Futures Contracts: Tax Advantages

A contract month is the month in which a futures contract expires. To review, all 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 contract name for the December 2017 ES contract, for example, would be “ESZ17”:

 

Ticker Symbol

Contract Month

Year

ES

Z

2017

ESZ17

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 expire at the same time and 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.

Contract expiry

Since futures contracts have specific delivery months (i.e., H, M, U and Z), they expire, or stop trading, on a certain date. The final settlement price for the contract is also determined. Expiration for the e-mini stock index futures contracts (including ES, NQ, YM and RTY) falls at 9:30 a.m. Eastern Time on the third Friday of each delivery month, 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 doesn’t expire worthless like an options contract would. Instead, any open positions roll over to the next contract.

Rollover

Contract rollover occurs on the Thursday eight calendar days before the expiration Friday. For the e-minis, that’s the second Thursday of March, June, September and December. The next contract becomes the "lead contract" or the "front month.”

Even though the previous contract continues to trade up until expiration, the majority of trading moves to the new contract as of 9:30 a.m. on Rollover day. For example, if the ESU17 contract expires on September 15, the rollover date would be the previous Thursday, or September 7, in this case. The majority of trading would switch to the December contract (ESZ17) as of market open (9:30 am EST) on the rollover date. (For related reading, see How do Futures Contracts Roll Over?)

The following chart illustrates typical changes in trading volume around a rollover date. In this example, the September and December ES contracts are shown. Notice the increase in volume for the December contract (lower chart) that coincides with the rollover date, while volume for the expiring September contract falls.

 

Volume moves to the new contract on the rollover date. Image created with TradeStation.

Trading the Contract Rollover 

Many active traders trade the "old" contract on Rollover day, and then switch to the "new" contract the next day, or make the switch on the actual Rollover day. In general, traders should move into the new contract as soon as volume moves from one to the other. Some traders avoid Rollover day altogether because it’s considered to be choppy and difficult to trade. It’s 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 historical price movements and apply historical technical analysis across multiple contracts. The continuous contract is vital to strategy development and backtesting since it’s the only way to see years of consecutive trading data. Often, the symbol for the continuous contract is the contract's ticker symbol, preceded by the "@" symbol. The continuous ES contract, for example, would be designated "@ES." 

The following chart shows the continuous ES contract. Notice that the chart appears as seamless as that of a regular stock chart. The continuous contract is used for analysis purposes only and not for actual trading.

 

 

The continuous ES contract provides seamless data across multiple contract months. Image created with TradeStation.


Beginner's Guide To E-Mini Futures Contracts: Brokers
Related Articles
  1. Investing

    A Quick Guide for Futures Quotes

    Here is a quick guide for reading and understanding futures markets quotes.
  2. Trading

    Beginner's Guide To Trading The E-Mini Futures Contracts

    The e-minis are the small but mighty cousins of their larger, full-sized contracts. Learn how to trade with the e-mini stock index futures.
  3. Trading

    The Difference Between Forwards and Futures

    Both forward and futures contracts allow investors to buy or sell an asset at a specific time and price.
  4. Trading

    Futures Fundamentals

    This tutorial explains what futures contracts are, how they work and why investors use them.
  5. Trading

    How to Trade Dow Jones Future Contracts

    Learn about the Dow Jones Index futures contracts available and obtain step-by-step instruction on how to trade the stock index futures.
Trading Center