CME Group Equity Index futures allow market participants to roll their futures positions from one quarterly futures contract month to the next at any time they choose. For example, participants can roll their futures positions from June to September at any time.
However, the trading floor convention is to roll the expiring quarterly futures contract month eight calendar days before the contract expires*.This is known as the roll date.
After the roll date, it is customary to identify the second nearest expiration month as the “lead month” for the equity 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 roll date dictates which contract is listed for trading on CME Globex.
Note: The following products have only one contract at a time listed for trading during the overnight CME Globex session:
These contracts are not available on CME Globex during the RTH session.
For these products, the roll date determines what contract month is listed for trading during the CME Globex session.
* Note that Nikkei 225 futures contracts historically have a roll date of the Monday before expiration.
If the roll date for an S&P 500 futures contract is Thursday, December 11, 2014, the CME Globex session beginning at 5:00 p.m. Chicago time/CT that evening will list the Mar 2015 contract for trading and the Dec 2014 contract would no longer be available to trade on CME Globex. On the trading floor, the Mar 2015 contract would become the lead month beginning at 8:30 a.m. (CT) on Thursday, December 11, 2014.
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