Announcements
  • FXCM Launches WhatsApp Support

    FXCM now offers WhatsApp support to our clients! Simply add our WhatsApp number to your contacts (+44 7537 432259) or click here and reach out to us from Sunday at 5pm EST to Friday at 5pm EST.

What Is Rollover In Futures Trading?

In the trading of futures, "rollover" refers to the process of closing out open positions in soon-to- expire contracts in favour of contracts with later expiration dates. Rollover is unique to each product, and it produces a substantial impact upon volatility and price action within the marketplace.

The days surrounding an individual contract's rollover are especially important in the area of risk management. The full attention of investors engaged in trading expiring contracts is required, as unique challenges are presented via split volume and reduced market liquidity.

Rollover is a key aspect of futures trading that must be accounted for, as it directly impacts the bottom line of the trading account.

Expiration And Roll Date

Futures contracts are financial products priced according to the value of a specific quantity of an underlying asset over a fixed period of time. Because a futures contract is finite in duration, there are a few key dates that active traders need to be aware of:

  • Expiration day: The last day that a futures contract is binding. After expiration, a futures contract is no longer valid.
  • Last trading day: The last day when a futures contract can be traded. After the last trading day, delivery of the underlying asset or cash settlement must transpire.


The period of time before a contract's expiration in which investors close positions in favour of contracts with further-out expirations is known as the "roll date." Roll dates are unique to each type of contract being traded and vary in duration. For instance, the Emini S&P futures contract has a typical roll date of eight days before expiration, while the Nikkei 225 generally has a roll date of the first Monday of the expiration month.[1] Futures markets are fluid in nature, thus a contract's roll date is not necessarily concrete and is subject to change on an ongoing basis.

It's important to understand the relationship between the roll date, expiration date and the last trading day. The roll date is not a scheduled date; it represents the time in which the process of rollover typically commences. Expiration and last trading day are the exact dates in which a contract becomes invalid for trade and all positions in a given contract are closed.

Volume Splits And Liquidity

During the days surrounding the roll date, trading volumes tend to become split between the expiring contract and contracts expiring further in the future. The split in volume can have a substantial impact upon short-term liquidity and render difficult intraday trading conditions.

The result of decreased volume has two effects upon the market:

  • Increased bid/ask spread: As the number of market participants decreases, the spread between buyers and sellers gets larger. In turn, entering and exiting the market becomes a more costly proposition.
  • Slippage: A decrease in the number of buyers and sellers placing market orders at each price reduces market liquidity and greatly increases the chance of experiencing substantial slippage upon market entry and exit.

The period surrounding contract rollover in a specific futures market can be a challenging time for traders. Decreasing volume due to attention being shifted to other futures contracts poses several potential hazards, and many professional traders avoid rollover altogether.

Read more about rollover in forex.

Any opinions, news, research, analyses, prices, other information, or links to third-party sites are provided as general market commentary and do not constitute investment advice. FXCM will not accept liability for any loss or damage including, without limitation, to any loss of profit which may arise directly or indirectly from use of or reliance on such information.

Russell Shor

Russell Shor

Senior Market Specialist

Russell Shor (MSTA, CFTe, MFTA) is a Senior Market Specialist at FXCM. He joined the firm in October 2017 and has an Honours Degree in Economics from the University of South Africa and holds the coveted Certified Financial Technician and Master of Financial Technical Analysis qualifications from the International Federation…

View Profile

Disclosure

Any opinions, news, research, analyses, prices, other information, or links to third-party sites contained on this website are provided on an "as-is" basis, as general market commentary and do not constitute investment advice. The market commentary has not been prepared in accordance with legal requirements designed to promote the independence of investment research, and it is therefore not subject to any prohibition on dealing ahead of dissemination. Although this commentary is not produced by an independent source, FXCM takes all sufficient steps to eliminate or prevent any conflicts of interests arising out of the production and dissemination of this communication. The employees of FXCM commit to acting in the clients' best interests and represent their views without misleading, deceiving, or otherwise impairing the clients' ability to make informed investment decisions. For more information about the FXCM's internal organizational and administrative arrangements for the prevention of conflicts, please refer to the Firms' Managing Conflicts Policy. Please ensure that you read and understand our Full Disclaimer and Liability provision concerning the foregoing Information, which can be accessed here.