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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.
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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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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contract as of the Rollover date. In
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The Rollover (June 7) date is
indicated by the yellow arrows,
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along with the June contract's
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expiration. Notice the increase in
volume for the September contract
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that coincides with the Rollover
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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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