Understanding Roll Dates in Futures Trading

By NinjaTrader


Futures contracts are only active for a specific amount of time before they expire. Each market has its own specific expiration sequence throughout the year and often extending into the next year. Prior to a contract expiring, futures traders must either:

  1. Exit their active position or
  2. “Roll” their position to a later contract of the same underlying asset, extending the expiration period

Futures Expiration Dates

Every futures contract is identified by a product symbol along with an expiration month and year. Some futures contracts expire on a monthly basis while others expire every few months. The “front month” contract is nearest to expiration date and usually the contract actively being traded.

For example, the Micro E-mini S&P 500 contract for September 2020 is listed as MES 09-20. Once the MES 09-20 contract expires, traders that choose to carry their open positions will roll to the next available contract, MES 12-20.

  • Tip: Expiration dates for E-mini & Micro E-mini equity index contracts fall on the third Friday of every third month (March, June, September & December).

Rolling Over Futures Contracts

In addition to avoiding expiration, futures traders may also choose to roll over their contracts to follow volume and ensure there is enough market liquidity. The highest volume front months are generally those closest to expiration.

See how to roll over futures contracts in NinjaTrader in this 1-minute video:

Popular futures contracts including equity index futures and commonly traded commodities have preconfigured expiration dates in NinjaTrader.

Cash Settled vs Physically Delivered

All futures contracts are either cash settled or physically delivered. When cash settled futures contracts (ex. E-mini index futures) expire, a simple debit or credit is issued. Alternatively, physically delivered contracts (ex. gold, oil or soybeans) require a trader to either produce or take delivery of the underlying commodity upon expiration.

While physical delivery of a commodity is technically possible, traders primarily avoid futures delivery by closing or rolling over their positions.

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