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Day Trading Forum - 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).
* 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.
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Rollover Days and Volume