The roll over

What the roll is

Article 1 ended on the fact that a futures contract expires. Traders who want to stay in the market past that date do two things at once: close the position in the expiring contract and open the same position in the next one. That pair of trades is the roll.

The expiring one is the front month; the one you are moving to is the back month. After the roll, the back month becomes the front month, and the whole thing happens again three months later.

For index futures the cycle is quarterly — March, June, September, December — and expiry falls on the third Friday of that month.

The calendar tells you when it expires. Volume tells you when to move

Those are not the same date, and the gap between them is about a week.

The market does not wait for expiry. Roughly a week before, activity starts shifting; within a session or two, the new contract holds most of the volume and the old one is left to people closing out. There is no bell. There is a day when the two lines cross.

Checking takes ten seconds. Open the instrument list, look at both contracts, and see which one carries the volume today.

Screenshot pending — two contracts side by side in the instrument list The expiring one and the next one, with the day's volume on each

Four things it does to your screen

1 · The book thins out

Before you notice the volume figure, you notice the feel: the spread widens, the depth at each level is smaller, and fills are worse. The market did not become illiquid. You are standing in the room everybody just left.

2 · The two contracts are not at the same price

The next contract usually trades a little away from the expiring one. For index futures this difference is mostly the cost of holding the exposure for three more months — interest against dividends — and it narrows towards expiry.

Practically: your levels do not transfer. A level that mattered on the old contract is at a different number on the new one, and moving it across by hand without adjusting for the difference will put it in the wrong place.

3 · Continuous charts have to lie about something

A chart of «NQ» going back years is not one contract, it is dozens stitched together, and there are two ways to do it. Neither is honest, and knowing which one you are looking at matters.

Back-adjusted

The old data is shifted so the joins are seamless. The shape of history is preserved and the prices are not real — old levels read as numbers that never traded.

Not adjusted

Each contract's real prices are kept and the chart gaps at every join. The prices are true; the shape has jumps in it that no trader ever experienced.

4 · The new contract has no past

This one surprises people every quarter, and it is not a fault in anything.

A contract that started trading three weeks ago has three weeks of history. Any tool that needs months of data on the contract itself — a monthly profile, a long-horizon reference, a statistic measured over a quarter — simply cannot produce it, however you configure it. The data is not missing. It does not exist yet.

When a tool shows less after a roll than it did the week before, that is usually why. The answer is not more settings; it is either waiting, or using a continuous series and knowing exactly which of the two lies above you have chosen.

It costs money, and it is not optional

A roll is two trades: closing one contract and opening another. Two commissions, and the spread on both. Many platforms will do it as a single combined order, which helps with the execution and does not make it free.

For a day trader who is flat every evening, none of this applies to positions — you are never holding one through a roll. It still applies to everything else: your chart, your levels, your history, your tools. That is why this article is in stage 1 rather than filed away as a detail for people who hold overnight.

What to actually do

1. Know the four expiry months, and that expiry is the third Friday.
2. In roll week, check which contract has the volume — every day, before the session.
3. Move when the volume moves, not when the calendar says.
4. Redraw your levels on the new contract instead of assuming the numbers carried across.
5. Expect long-horizon tools to be quiet for a while, and do not go hunting for a setting that will fix it.