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Intermediate Guide To E-Mini Futures Contracts


- Rollover Dates And Expiration

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1. Intermediate Guide To E-Mini Futures


Contracts - Introduction
2. Intermediate Guide To E-Mini Futures
Contracts - Popular E-Mini Contracts
3. Intermediate Guide To E-Mini Futures
Contracts - Volume And Volatility

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Intermediate Guide To E-Mini Futures


Contracts - Rollover Dates And Expiration
By Jean Folger
A contract month is the month in which a futures contract expires. All of the
e-mini stock index futures contracts trade on the March quarterly expiration
cycle (March, June, September and December). Each month is represented by
a single letter:

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H = March
M = June
U = September
Z = December
Each contract is known by its ticker symbol, the contract month and the year
in which the contract is traded. The complete name for the March 2012 TF
contract, for example, would be "TFH12" (see Figure 4).

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Figure 4 - Each futures contract is known by its ticker symbol, contract month
and year in which the contract is traded.

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Beginner's Guide To Trading


Futures
By Brian Perry

E-mini contracts are similar to other futures contracts in that they have a
defined length and specified expiration. The e-mini stock index futures expires
at the same time and to the same price as their larger counterpart contracts
(for example, the e-mini S&P 500 contract expires at the same time as the

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Intermediate Guide To E-Mini Futures Contracts - Rollover Dates And ...

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standard, full-sized S&P 500 contract). The expiration date (or final trading
day) is the last day that a futures contract is valid. Since futures contracts have
delivery months (or contract months, such as H, M, U and Z), the expiration is
the time and the day that the particular contract stops trading. The final
settlement price for the contract is also determined. Expiration for the e-minis
stock index futures contracts (including ES, NQ, YM and TF) occurs at 9:30
am EST on the third Friday of the delivery months, such as the third Friday in
March for a March contract, or the third Friday in December for a December
contract.

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When a contract expires, it does not expire worthless (like an options contract
would). Instead, an open position rolls over to the new contract.
Rollover
Contract Rollover occurs on the Thursday a week before the expiration Friday
- for the e-minis, this is the second Thursday of March, June, September and
December (if the Rollover month starts on a Friday, the Rollover is the first
Thursday of the month). The next contract becomes the "lead contract" or the
"front month". Even though the previous contract continues to trade until
expiration, the majority of trading moves to the next contract. For example, if
the TFU12 contract expires on September 21, the rollover date would be the
previous Thursday, or September 13, in this case. The majority of trading
would switch to the December contract (TFZ12) as of market open (9:30 am
EST) on the rollover date.
Figure 5 illustrates the increase in
volume that switches to the next
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The Rollover (June 7) date is
indicated by the yellow arrows,
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expiration. Notice the increase in
volume for the September contract
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that coincides with the Rollover
date. Trading for the June contract ceases as of the expiration.

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Figure 5 - These daily charts show the June and September 2012 ES contracts.
The Rollover (June 7) dates are indicated by the yellow arrows, along with the
June contract\'s expiration. Notice the increase in volume for the September
contract that coincides with the Rollover date. Chart created with
TradeStation.

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Trading the Contract Rollover


Many active traders will trade the "old" contract on Rollover day, and then
switch to the "new" contract on the next day, or make the switch on the actual
Rollover day. Figure 5 shows that after Rollover, the volume of the current
contract (June) wanes, while the volume of the upcoming contract
(September) increases. In general, traders should move into the new contract
as volume moves from one to the other.Some traders avoid Rollover day
altogether because it is considered by many to be choppy and challenging to
trade. It is important to do your own homework and research to determine if
your trading strategy is affected by Rollover trading.
Continuous Contracts
The continuous contract is a combination of the various delivery months of a
contract. It allows traders and investors to view the historical price movement
(and historical technical analysis) over multiple contracts. The continuous
contract is vital to strategy development and backtesting, since it accounts for
years of trading data. Often, the symbol for the continuous contract is the
contract's ticker symbol, preceded by the "@" symbol. The continuous NQ
contract, for example, would be designated "@NQ."
Figure 6 shows a weekly chart of the continuous NQ contract. Notice that the
chart appears as seamless as that of a regular stock chart. Typically, the
continuous contract is used for analysis purposes only and not for actual
trading.
SEE: Backtesting: Interpreting The Past

Figure 6 - The continuous NQ contract, shown on a weekly chart.

Next: Intermediate Guide To E-Mini Futures Contracts - E-Mini Brokers

1. Intermediate Guide To E-Mini Futures


Contracts - Introduction
2. Intermediate Guide To E-Mini Futures
Contracts - Popular E-Mini Contracts
3. Intermediate Guide To E-Mini Futures
Contracts - Volume And Volatility

TAGS:

Futures

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