Rollover of Futures Option



There is a single contract letter associated with each month and, in the same order - H, M, U, and Z. Of course, it does not mean that you have to switch to trading the new contract on that particular day. You can still trade the old one until the expiration day, but it makes sense to do it on the rollover day. You can just visit this site to see what it has to offer on "corresponding months”.

The same can be said of the June-September sequence. Because September is a rollover month for many futures contracts, including very popular stock index e-minis, and whenever a rollover month starts on a Friday, a rollover day is on the first Thursday and not on the second one as is usually the case. This might seem like a coincidence, but actually it is not. Interestingly, September 1, 1939, the day WWII started, happened to be a Friday. This means that even if a March rollover day happened to be on the month's first Thursday, the next rollover would never be on the first Thursday in June.

One other fact about the rollover and expiration days you might take particular interest in is that the rollover day is the day most traders start trading the new contract. What this means is that the trading volume shifts from the old contract to the new one. Keep in mind that the longer you stay with the old contract the more your trading is going to be affected by the volume, which in this case is getting poorer and poorer as you get closer to the contract expiration.

As June 1, 2007 fell on a Friday, the month's rollover day would be the first Thursday of June. Another interesting fact, December 1, 2006 also fell on a Friday and so again the rollover day was on the first Thursday of the month and not on the second one. The latter is always on the third Friday of a rollover month. However, the next rollover day is on the second Thursday in September 20.

As it was, September 1, 2006 was a Friday. For the e-minis of the futures contracts traded on the Chicago Mercantile Exchange (CME) and the Chicago Board of Trade (CBOT), the months in question are: March, June, September, and December. After the September 2006 contract on the rollover day, which happened to be on September 7th, we switched to trading the U contract.



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