Futures rollover and expiration: contract months, roll week and settlement

How micro E-mini contract months are named, when equity index futures expire and roll, why months trade at different prices, and an expiry-week checklist.

A futures contract has an end date. The micro E-mini you bought this week is not the same instrument you will trade in four months: it belongs to one contract month, it stops trading on a fixed day, and the market's volume moves on to the next month before that day arrives. Ignore that and you can end up with orders in a dead contract, stops at the wrong price or a chart showing a jump that never happened.

Reading the symbol: root, month code, year

A futures symbol has three parts: the product root, a one-letter month code and the year. CME uses a single letter for each calendar month, from F for January to Z for December. Equity index futures, including the micros, list only the quarterly months, so you only need four letters:

Quarterly month codes used by equity index futures

Code	Month
H	March
M	June
U	September
Z	December

So MESZ6 reads as MES (Micro E-mini S&P 500), Z (December), 6 (2026). MNQH7 is the Micro E-mini Nasdaq-100 for March 2027. Some platforms show a two-digit year (MESZ26). CME's education course on contract trading codes lists all twelve letters if you trade other products.

The contract nearest to expiry is the front month; the next one out is the deferred or back month. For the specs that do not change between months (multiplier, tick size, tick value), see Micro E-mini specs side by side.

The quarterly cycle and the last trading day

CME's micro E-mini course says the equity index micros expire quarterly and settle in cash on the third Friday of March, June, September and December. For MES, CME's contract specs state that trading terminates at 8:30 a.m. Central Time on the third Friday of the contract month. Exchange holidays can move the last trading day, so check CME's calendar every quarter rather than counting Fridays.

There is no physical delivery: an open position is closed out in cash at the final settlement price. For the S&P 500 family, CME's final settlement procedures describe that price as a Special Opening Quotation (SOQ) of the index: a value calculated from the opening price of each component stock on expiration day, whenever each stock opens. Because some stocks open late, the SOQ is generally not the same as the index's first printed value that morning, and it can be some distance from Thursday's close.

When the market rolls

As expiry approaches, volume and open interest shift to the next quarter and the front month thins out. CME's equity roll dates page gives the roll date for U.S. equity index products as the Monday before the third Friday of the expiration month, and lists the dates by year.

Be careful with the many rules of thumb you will meet. A long-standing convention among traders and some data vendors is to roll on the second Thursday of the month, about eight days before expiry, and the migration of volume often starts in the days before CME's published roll date. Treat any fixed rule as approximate. The practical decision rule is simple: when the deferred month's daily volume is larger than the front month's, the deferred month is now the market, and that is the contract to trade.

Illustrative example: the third Friday of December 2026 is December 18, so CME's rule would put the roll date on Monday, December 14. Confirm both dates on CME's pages before you rely on them.

Why the two months trade at different prices

The next quarter almost never trades at the same price as the expiring one. The gap is called the calendar spread, and for equity index futures it is driven mainly by two things: the interest you would earn on cash over the extra three months, and the dividends you would give up by holding futures instead of the stocks. CME's fair value page gives the idea as a formula: fair value = cash index × [1 + r × (days ÷ 360)] − dividends to expiry.

Illustrative example (round numbers, not a forecast): index at 6,000, short-term rate 4% a year, dividend yield about 1.3% a year, 90 days to the next expiry.

Illustrative carry on a 90-day horizon

Item	Calculation	Index points
Interest	6,000 × 4% × 90/360	+60
Dividends	6,000 × 1.3% × 90/365	about −19
Net carry	60 − 19	about +41

In this example the deferred month would trade about 41 points above the expiring one. When rates are below the dividend yield, the gap can be negative. The spread is not profit or loss. What changes is the price level of everything on your screen, which matters for stops, targets and charts.

How a roll works mechanically

You have two ways to move a position from MESZ6 to MESH7.

Close and reopen

Close the old contract, then open the same size in the new one. It is simple, but you are exposed between fills and pay the bid-ask spread and slippage twice.

Calendar spread

CME lists calendar spreads that trade both legs in one order. A long trader sells the spread (sell front, buy deferred) and a short trader buys it. You trade one price, the difference between the months, so you are not exposed to the market moving between legs. Check how your platform names the spread and which side is which before you send it, because the convention is easy to reverse.

Either way, commissions and exchange fees are usually charged on both legs. Ask your broker how spread orders are billed. For a short-term trader, the cleanest roll is often no roll at all: be flat before roll week and start fresh in the new month.

What the roll does to stops and charts

Stops and targets are prices in a specific contract. If you roll a long position from a month trading at 6,000 into one trading at 6,041 and leave the stop at 5,950, your risk has grown from 50 points to 91 points. In MES terms that is $250 per contract becoming $455. Shift each stop and target by the spread at the moment you roll, then recheck your size with position sizing with 1R.

Charts have the same issue. A continuous contract stitches months together, and platforms do it in different ways:

• Unadjusted: each segment shows the prices that actually traded, so a gap of roughly the spread appears on the roll day even if the index did nothing.
• Back-adjusted: older history is shifted by the spread at each roll so the line has no artificial gap. Indicators and backtests behave better, but old bars no longer show the prices that traded at the time.
• Single month: one contract only, with thin and unreliable data in its early months.

Know which one you are looking at. Reference levels such as prior day high or low, or an opening range, can be off by the spread around the roll if your chart and your order ticket are on different months. A breakout rule like the one in opening range breakout rules should be measured on the contract you actually trade.

Expiry-week checklist

1. Write the last trading day and CME's roll date in your plan.
2. Each day that week, compare front and deferred volume. When the deferred month leads, switch your chart and your order ticket to it.
3. List every working order (stops, targets, good-till-cancelled entries) in the old month. Cancel or move each one.
4. If you hold a position, decide by a set day whether you will close it, roll it with a spread, or (only on purpose) let it settle.
5. If you roll, note the spread price and shift every stop and target by it. Recompute your dollar risk.
6. Check your platform's default symbol and any saved watchlists or templates still pointing to the old month.
7. Log the roll in your trade journal with the spread price and costs, so your P&L reconciles.

Common mistakes

• Orders left in the old month. A good-till-cancelled stop in the expiring contract does not follow you to the new one. If you are flat in the old month, that stop can be triggered and open a new, unprotected position in a thin market.
• Holding into settlement by accident. A position you forgot is settled at the SOQ, a price you cannot choose or time. If that number is far from Thursday's close, the cash result can be a surprise. Brokers may also set close-out deadlines earlier than CME's.
• Trading the back month too early. Weeks before the roll the deferred month can have wider bid-ask spreads and fewer resting orders, so fills cost more.
• Reading the spread as a gain or loss. The new month's higher or lower price is carry, not a move in your favour or against you.
• Mixing months on one screen. A chart on the continuous contract and a ticket on the old month can show prices about 40 points apart in the example above, which is enough to put a stop in the wrong place.

Dates, hours and settlement rules can change. Check the live contract specs, the roll dates page and your broker's expiry procedures on cmegroup.com and with your broker before each quarter. More guides on the futures topic are on the futures page. Everything here is education, not advice, and every example is illustrative.

Examples use round, illustrative numbers and are not actual trades or results. Education only — not investment, tax or legal advice.

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