Futures Contract Rollover
E-mini futures contracts trade using the quarterly expiration cycle. The E-mini futures contract month is the month when the contract expires. The designations for the months are as follows. There does not appear to be any logic to the designations other than they are in alphabetic order.
- H – March
- M – June
- U – September
- Z – December
Contracts are designated by the the ticker symbol, the contract month and the year when the contract is traded. For example the S&P E-mini futures contract trading in 2014 for the December contract would be designated with ESZ14.
Contract rollover occurs on the Thursday a week prior to the Expiration Friday. For the E-mini contracts this is the 2nd Thursday of the rollover month. If the rollover starts on a Friday the rollover will occur on the 1st Thursday of the month.
When the rollover begins the volume will begin to shift from the previous contract to the new contract. This volume shift will begin at the start of the regular session for the E-Mini futures. So for the CST timezone this would be 5:00 PM on the evening prior to the rollover day which occurs on Thursday.
So when should you shift you trading to the new contract?
Some traders will stop trading the current contract on Wednesday and begin trading the new contract on Friday. Avoiding the chop or inconsistent price action that may occur on rollover day.
Some traders switch to the new contract on Wednesday evening while others switch to new contract on Thursday evening.
A good majority of intra-day traders will follow the volume. When the volume for the new contract exceeds the current contract they will begin trading the new contract. While inter-day traders or swing traders may begin trading the new contract as soon as it is available to trade which is prior to rollover day.