FRONT MONTH SYMBOLS AND ROLLOVER DATES

Front Month Symbols & Expiration Dates

Futures daytraders always trade the front month beginning three months before the contract expiration date.

For example, in March, we begin trading the June contract and continue trading it until it expires in June. In June, we begin trading the September contract until it expires in September, and so on.

Front Month symbols are a combination of the market symbol, the month letter, and the year of the contract. They can vary in how they are combined.

Futures month letters are listed below. Stock index futures use the bold face letters.

F  January
G  February
H  March The March contract becomes the front month in December
J  April
K  May
M  June The June contract becomes the front month in March
N  July
Q  August
U  September The September contract becomes the front month in June
V  October
X  November
Z  December The December contract becomes the front month in September

Each broker will have their own way of coding the front month symbol. Some may include a space, change the order, or use more digits for the year and sometimes even use different contract symbols.

It is because of the potential differences in front month coding that all traders must ask their broker what symbol to use.  It is your responsibility to use the right symbol.

For example, the Mini Dow Sept. 2016 contract may be represented as:
YM U6 or YMU6 or YM6U or YMU16 or YMU2016.

Front Month Change Day aka Rollover

The Front Month change occurs at 9:30 a.m. Eastern on a Thursday, 8 days before the last trading day (LTD). For stock index futures, the last trading day (contract expiration) is always the 3rd Friday of March, June, September, and December.

Historically, the majority of traders began trading the new contract on Thursday, the Front Month change day. However, recently, the majority of trading volume has not switched to the new contract on the Front Month change day, Thursday, but rather the next day, Friday at 9:30 a.m. Eastern. You will need to be aware of where the volume is trading on these two days, and trade the contract month with the most volume. However there’s usually enough volume the day before if you change on Thursday or if you use a broker’s symbol that automatically changes on Thursday such as TradeStation’s @ES.

If you are using separate charting/data and broker software, you will need to make sure the front month is the same on both.

Finally, stock index futures at the CME close early, at 4:05 Eastern, on the last trading day of the month for monthly fair value settlement. That’s usually not a problem, as most daytraders I know like to be flat before 4:00 p.m. Eastern.