Rollover day is when we switch from trading the contract that will expire this quarter to the contract that will expire the following quarter.

The futures contract that we focus on in #T1 (the ES) expires on the third Friday of the months of March (H), June (M), September (U) and December (Z). The rollover days, however, are 8 days before expiration on the second Thursday of each of these months.

These months have the letter designations H, M, U and Z. Depending on the charting and trading platform you're using, you would usually have to switch your reference to the following month by letting the software know the contract and expiry month / year.

In the eSignal application, "ES H5" refers to the E-Mini S&P contract that expires on the third Friday of March 2005. Using eSignal and the #F designation will switch it to the new contract on the rollover day for you.

9 December 2004
...is the next rollover day...

9 September 2004



10 June 2004
Here is the following contract rollover day for your comparison. Note that, until shortly after 09:00 ET, the June contract sees slightly more activity (as measured by volume) than the September contract, but, after that, the September contract is the lead contract.
June 2004 Contract - 5 minute chart on 10 June 2004

September 2004 Contract - 5 minute chart on 10 June 2004


11 March 2004
The two subsequent charts show March 2004 and June 2004 contracts (in that order) for the ES 5-minute for the 11 March 2004 rollover day. Notice how the volume has switched from the old to the new contract. Please note the volume scales on the right side: The March contract is scaled to 5K and the June contract to 25K. After an initial flurry of activity between 09:30 and 10:00, there is not much volume in the March (near) contract until the end of the day when it picks up again; whereas, the June (next) contract, which has become the lead month, sees very good volume.

*Reprinted (and modified) with permission from Guy Ellis