CME Equity Index Futures Roll Dates
Everything you need to know about CME’s equity index futures roll dates and expiration dates for 2022 and 2023.
Whether you are trading the E-mini Nasdaq-100 (NQ), E-mini S&P 500 (ES), or another equity index, futures expiration dates are important for knowing which front-month contract you should trade. Most traders are active in the front-month contract only as it has the most liquidity.
A futures roll is when a trader closes out his current position and simultaneously opens the same position in the next contract month. Traders roll futures contracts because they all have expiration dates, unlike stocks or other assets.
Futures contracts expire on the 3rd Friday of the expiration month at 9:30 EST. The E-mini Nasdaq-100 expires every quarter in the month of March, June, September, and December.
Each expiration month is represented by an alphabetical letter. These are the relevant expiration month letters for CME’s equity index futures:
- March: H
- June: M
- September: U
- December: Z
Traders begin to roll their positions on a Thursday, that is one week prior to the actual expiry of the futures contract. On these Thursdays, you will typically start to see trading activity dry out in the current month while activity in the front-month picks up. It wouldn’t make sense to continue trading the old contract shortly before expiry.
Our trading signal service automatically reminds of upcoming expiration dates and when a roll is due.
Upcoming Equity Index Expiration Dates
Best Strategy to Roll Futures Positions
The best strategy to roll a futures contract position is with a spread trade. A futures spread takes two positions simultaneously with different expiration dates. The two positions are traded simultaneously as a unit, with each side considered to be a leg of the unit trade.
Most professional brokers offer this technique. They close out the current position for you and open the front-month’s contract with the same trade. You avoid risks of price slippage, which are price discrepancies between two trades if you were to perform the exit and entry trades manually.
If your broker does not offer futures spread trades, you can simply close your position and open a new position with the front-month’s contract.
Published Tue Mar 09 2021 (last modified Fri Nov 04 2022)