However, the trading floor convention is to roll the expiring quarterly futures contract month eight calendar days before the contract expires for most of our Equity Index futures contracts. This is known as the Rollover date. Note that Nikkei 225 contracts historically have a Rollover date of the Monday before expiration.
- From the Rollover date on, it is customary to identify the second nearest expiration month as the “lead month” for the index futures. This is because the nearest expiring contract will terminate soon and will have a less liquid market than the new “lead month” contract
- For certain contracts traded in open outcry and then traded electronically on CME Globex during the overnight (ETH) sessions, the Rollover date dictates which contract is listed for trading on CME Globex.Note:
- S&P 500
- S&P MidCap 400
- S&P SmallCap 600 futures
- The following contracts have only one contract listed at a time for trading during the overnight CME Globex session (these contracts are not available on CME Globex during the RTH session):
For these, the Rollover date determines what contract month is listed for trading during the CME Globex session.
If the Rollover date is Thursday, December 13, 2012 for the S&P 500 futures contract, the CME Globex session beginning that evening (at 3:30 p.m. Chicago time /CT) will list the Mar 2013 contract for trading and the Dec 2012 contract would no longer be available to trade on CME Globex. On the trading floor, the Mar 2013 contract would become the lead month beginning at 8:30 a.m. on Thursday, December 13, 2012.
Roll dates for the upcoming listed Equity Index quarterly cycle futures contracts: