Rollover - Quick Facts & FAQs
Quick Facts about Rollover Day
The following applies to many (if not most) futures contracts especially those from the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT).
The following applies to many (if not most) futures contracts especially those from the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT).
- Rollover is 8 days before expiration.
- Expiration is the third Friday of each quarter month (March, June, September, December)
- The contract letter associated with each month is: March=H June=M September=U December=Z
- Rollover is on a Thursday.
- Rollover is usually on the second Thursday of the month but will be on the first Thursday if the first day of the month falls on a Friday
- Volume shifts to the new contract at market open (09:30 EST) on Rollover day
- New day trading or swing trading positions opened on rollover day should use the new contract month irrespective of when you plan to close it.
- New swing positions might be better opened using the new contract if opened within a few days of rollover day.
- Market myths abound at rollover and expiration. Check the source and confirm the probabilities before believing anything.
- Rollover Days and Volume
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