Rolling Rules for Futures

Futures contracts do not last forever. Their “lifetime” is limited, meaning that they will expire in their expiration date, which is the last day you can trade the contract. When a contract expires, it will be replaced by a new contract.

When a futures contract expires, what will happen to your open trades (if any) on the contract?

There are three options on an expired futures contract:

- Offset the trade

- Settlement

- Rollover (rolling)

Offset the trade

This is the most common method and also the simplest one. Offsetting (also called liquidating) a trade allows us to collect all profits or realize all losses made from the trades. You don’t have to take the physical of the asset (underlying asset) nor deliver the cash.

You must make an opposite trade in order to offset the trade with an equal size of the open trade. Your profits or losses in the trade will be calculated based on your initial and offset position.

For example: assume that you have two shorts on copper that is expiring in February. To offset these trades, you must buy two lots of copper contract that expires on the same day.

Settlement

If you choose not to offset the trade (or rolling it – which will be explained below), then the contract will be expired and your trade will be settled. It means you will have to deliver the physical asset (underlying asset) if you have short position on the contract.

However, not all contract should be settled by physical asset delivery. Some contracts only require cash settlement based on the terms of the contract.

Rollover (rolling)

As you can see, futures contracts will roll periodically because they have expiration date as explained earlier. What can you do if you want to keep your open trades on a futures contract when it’s expiring?

There is a mechanism that allows you to “keep” your open trades on an expiring futures contract called rollover or rolling. There will be adjustments on your open trades because the new contract will have different price from the previous one.

Commodity	Symbol	Contract	Contract Starts	Contract Ends
Gold	GC	G17	November 30, 2016	January 31, 2017
		J17	January 31, 2017	March 31, 2017
		M17	March 31, 2017	May 31, 2017
		Q17	May 31, 2017	July 31, 2017
		Z17	July 31, 2017	November 30, 2017
Silver	SI	H17	November 30, 2016	February 28, 2017
		K17	February 28, 2017	April 30, 2017
		N17	April 30, 2017	June 30, 2017
		U17	June 30, 2017	August 31, 2017
		Z17	August 31, 2017	November 30, 2017
Copper	HG	H17	November 30, 2016	February 28, 2017
		K17	February 28, 2017	April 30, 2017
		N17	April 30, 2017	June 30, 2017
		U17	June 30, 2017	August 31, 2017
		Z17	August 31, 2017	November 30, 2017
Palladium	PA	H17	November 30, 2016	February 28, 2017
		M17	February 28, 2017	May 31, 2017
		U17	May 31, 2017	August 31, 2017
		Z17	August 31, 2017	November 30, 2017
Crude Oil (WTI)	CL	F17	November 19, 2016	December 18, 2016
		G17	December 19, 2016	January 18, 2017
		H17	January 19, 2017	February 18, 2017
		J17	February 19, 2017	March 18, 2017
		K17	March 19, 2017	April 18, 2017
		M17	April 19, 2017	May 18, 2017
		N17	May 19, 2017	June 18, 2017
		Q17	June 19, 2017	July 18, 2017
		V17	July 19, 2017	September 18, 2017
		X17	September 19, 2017	October 18, 2017
		Z17	October 19, 2017	November 18, 2017
Gasoline	RB	F17	November 20, 2016	December 30, 2016
		G17	December 30, 2016	January 30, 2017
		H17	January 30, 2017	February 28, 2017
		J17	February 28, 2017	March 30, 2017
		K17	March 30, 2017	April 26, 2017
		M17	April 27, 2017	May 30, 2017
		N17	May 30, 2017	June 30, 2017
		Q17	June 30, 2017	July 30, 2017
		U17	July 30, 2017	August 30, 2017
		V17	August 30, 2017	September 30, 2017
		X17	September 30, 2017	October 30, 2017
		Z17	October 30, 2017	November 30, 2017
Natural Gas	NG	F16	November 27, 2016	December 27, 2016
		G17	December 27, 2016	January 27, 2017
		H17	January 27, 2017	February 27, 2017
		J17	February 27, 2017	March 27, 2017
		K17	March 27, 2017	April 27, 2017
		M17	April 27, 2017	May 27, 2017
		N17	May 27, 2017	June 27, 2017
		Q17	June 27, 2017	July 27, 2017
		U17	July 27, 2017	August 27, 2017
		V17	August 27, 2017	September 27, 2017
		X17	September 27, 2017	October 27, 2017
		Z17	October 27, 2017	November 27, 2017
Wheat	ZW	H17	November 16, 2016	February 16, 2017
		K17	February 16, 2017	April 16, 2017
		N17	April 16, 2017	June 16, 2017
		U17	June 16, 2017	August 16, 2017
		Z17	August 16, 2017	November 16, 2017
Corn	ZC	H17	November 16, 2016	February 16, 2017
		K17	February 16, 2017	April 16, 2017
		N17	April 16, 2017	June 16, 2017
		U17	June 16, 2017	August 16, 2017
		Z17	August 16, 2017	November 16, 2017
Soybeans	ZS	F17	October 16, 2016	December 16, 2016
		H17	December 16, 2016	February 16, 2017
		K17	February 16, 2017	April 16, 2017
		N17	April 16, 2017	June 16, 2017
		Q17	June 16, 2017	July 16, 2017
		U17	July 16, 2017	August 16, 2017
		X17	August 16, 2017	October 16, 2017
T. Note	ZN	H17	November 30, 2016	February 28, 2017
		M17	February 28, 2017	May 31, 2017
		U17	May 31, 2017	August 31, 2017
		Z17	August 31, 2017	November 30, 2017
T. Bond	ZB	H17	November 30, 2016	February 28, 2017
		M17	February 28, 2017	May 31, 2017
		U17	May 31, 2017	August 31, 2017
		Z17	August 31, 2017	November 30, 2017
Dow Jones	YM	H17	December 9, 2016	March 9, 2017
		M17	March 9, 2017	June 9, 2017
		U17	June 9, 2017	September 9, 2017
		Z17	September 9, 2017	December 9, 2017
S&P500	ES	H17	December 9, 2016	March 9, 2017
		M17	March 9, 2017	June 9, 2017
		U17	June 9, 2017	September 9, 2017
		Z17	September 9, 2017	December 9, 2017
Nasdaq	NQ	H17	December 9, 2016	March 9, 2017
		M17	March 9, 2017	June 9, 2017
		U17	June 9, 2017	September 9, 2017
		Z17	September 9, 2017	December 9, 2017
Nikkei	NY	H17	December 9, 2016	March 9, 2017
		M17	March 9, 2017	June 9, 2017
		U17	June 9, 2017	September 9, 2017
		Z17	September 9, 2017	December 9, 2017

Rollover – or rolling – means that you choose not the offset your trade nor send your trade to settlement. Instead, you choose to keep your trade from the previous contract to the next contract month.

How does BTM rolls futures

Assume that you have bought 2 lots of WTI that expires in September at the price $92.20. Let’s say that the old contract is closed at $92.60 and the new contract opens at $92.95. What will happen to your trade?

Your trade will be adjusted with -$700 on your balance. The number came from this calculation: ($92.60 - $92.95) x 2 Lot x 1,000, where 1,000 is the contract size of WTI. Your equity will not be affected at all because your open trade profits will increase by $700.

What actually happens is the system simultaneously closes your trades and at the same time it opens new trades in the next contract month. In this case, your two lots of WTI (long) in the September contract – that is expiring – are closed and replaced by two lots of WTI in the December contract.

Here are tables contains month codes and samples of futures contracts rollovers.

Futures Contracts Rollovers: