Futures contract months and roll dates, from CME Group’s rules

Month codes: how to read a futures symbol

CME Group publishes a single-letter code for each calendar month. A futures symbol is the product code, then the month letter, then the year. ESZ26 is the E-mini S&P 500 (ES) for December (Z) 2026; ESH27 is March (H) 2027. On CME’s own quote pages the year is often shortened to one digit, as in ESZ6, and data vendors add their own suffixes: Yahoo Finance lists the same December contract as ESZ26.CME.

The letters are not abbreviations of month names; CME’s full table is below.

Quarterly equity index futures: when the E-mini S&P 500 stops trading

CME’s contract specifications for the E-mini S&P 500 set the contract unit at $50 times the S&P 500 index, quoted in index points, with a minimum outright price move of 0.25 points, or $12.50. The contracts are listed quarterly, in March, June, September and December, for 21 consecutive quarters. They are financially settled: nothing is delivered, and positions still open at the end are settled in cash.

The termination rule is that trading ends at 9:30 a.m. ET on the third Friday of the contract month. For December 2026 the arithmetic runs like this. 1 December 2026 is a Tuesday, so the first Friday of the month is 4 December, the second is 11 December and the third is 18 December. CME’s expiration calendar for the product lists 18 December 2026 as the last trade date for ESZ26, which matches. The March 2027 contract, ESH27, has 19 March 2027 as its last trade date on the same calendar.

The rule describes the usual case. When a holiday falls on the third Friday, the published calendar is what counts: CME’s roll-date table lists the June 2026 expiration as 18 June, a Thursday.

CME’s roll date: the Monday before expiry

CME’s equity index roll dates page makes two points. First, participants can move a position from one quarterly month to the next at any time; there is no single moment when everyone has to roll. Second, CME still names a customary roll date for its US equity index futures: the Monday before the third Friday of the expiration month. After that date, CME treats the second-nearest month as the lead month, because the expiring contract is about to stop trading and will be less liquid. (Nikkei 225 and TOPIX futures use the Monday before the second Friday instead.)

Counting back from Friday 18 December 2026, the Monday of that week is 14 December 2026. CME’s published table gives the same date: December 2026 expiration 12/18, roll 12/14. For March 2027 the table lists expiration 3/19 and roll 3/15.

The roll date is a convention, not a deadline. It marks when most activity has usually moved, and it is the date many data vendors use to switch which contract feeds a continuous chart.

Why volume and open interest move to the next contract

Open interest is the number of contracts still open at the end of a day. Two months before expiry, almost all of it sits in the front contract. CME’s volume and open interest report for 19 October 2026 shows how lopsided that is: of 1,930,030 E-mini S&P 500 contracts open at the close, 1,913,081 were December 2026 and 15,204 were March 2027. That is 1,913,081 ÷ 1,930,030 = 99.1% in December and about 0.8% in March. Volume that day was 1,740,657 contracts in December against 2,108 in March.

Around the roll date that balance flips. A holder keeping exposure past December sells December and buys March, often as one calendar-spread order. As that happens, December open interest falls, March open interest rises, and trading volume follows, because traders tend to go where the other traders are. By the last trade date the expiring contract is a small market, which is the reason CME gives for naming the next month the lead month after the roll date.

Holders who do nothing see the position end at expiry. For the E-mini S&P 500 that means a cash settlement; for a physically delivered contract it can mean the obligation to make or take delivery.

A worked example: the December–March spread and the basis

The table uses Yahoo Finance daily closes for 19 October 2026, the latest session complete in all three series when we fetched them. The cash index closes at 4:00 p.m. ET. For ESZ26, Yahoo’s 19 October close of 7,734.50 equals CME’s daily settlement price, which CME sets from lead-month trading between 3:59:30 and 4:00:00 p.m. ET; the two are close in time, not identical. The rest is our approximate calculation.

The calendar spread is March minus December: 7,811.25 − 7,734.50 = 76.75 index points, or 76.75 × $50 = $3,837.50 per contract. The basis is December minus the cash index: 7,734.50 − 7,690.73 = 43.77 points.

In theory an index future trades above cash by the cost of carry: the interest a holder of the stocks would pay to finance them, minus the dividends the stocks pay before expiry. The basis of 43.77 points is 43.77 ÷ 7,690.73 = 0.569% of the index. There are 60 days from 19 October to 18 December 2026, so annualised that is 0.569% × 365 ÷ 60 = about 3.46%. FRED’s 3-month Treasury bill rate (DTB3) was 4.10% on 19 October 2026. The gap, roughly 0.64 percentage points, is a crude stand-in for the dividend yield the futures price allows for.

The calendar spread gives a second, rougher read. 76.75 ÷ 7,734.50 = 0.992% over the 91 days from 18 December 2026 to 19 March 2027, or about 3.98% annualised, again below the T-bill rate. The two estimates differ: they cover different periods with different dividend payments, the T-bill rate is not the exact rate traders finance at, and the closes are not simultaneous. Both sit above cash by less than the T-bill rate, consistent with dividends offsetting part of the financing cost.

A monthly, physically delivered contrast: WTI crude oil

NYMEX WTI crude oil futures (CL) work differently. CME’s specifications list monthly contracts for the current year and the next 10 calendar years, plus 2 more months. The contract is 1,000 barrels and is settled by delivery at Cushing, Oklahoma. Because a holder can end up with oil, trading stops before the delivery month starts.

The rule: trading ends 3 business days before the 25th calendar day of the month before the contract month, or 4 business days before if the 25th is not a business day. For December 2026 (CLZ26), 25 November 2026 is a Wednesday and a business day. Counting back 3 business days gives Tuesday 24, Monday 23 and Friday 20 November, so trading ends on 20 November 2026. For November 2026 (CLX26), 25 October is a Sunday, so the count is 4 business days: Friday 23, Thursday 22, Wednesday 21 and Tuesday 20 October. CME’s crude oil calendar shows the same two dates, 20 November and 20 October 2026, and lists first notice days of 24 November and 22 October.

So a crude oil position rolls every month and roughly a month ahead of delivery, while an E-mini S&P 500 position rolls four times a year, in the expiry week itself.

What a continuous chart does at the roll

A chart such as Yahoo Finance’s ES=F strings contracts together: it shows the front contract until the vendor switches to the next one. On 19 October 2026 ES=F and ESZ26 had the same close, 7,734.50, because December was still the front month. After the switch, the chart shows March prices instead.

Because the next contract is usually priced differently, an unadjusted continuous chart jumps at the switch. On the 19 October closes, a switch that day would have moved the line from 7,734.50 to 7,811.25, a 76.75-point step that no one earned or lost. A back-adjusted chart removes that step by shifting all earlier prices by the gap at each roll, either by adding the difference or by multiplying by the ratio. Past moves then look closer to what a rolled position experienced, but old prices no longer match any traded price. Unadjusted charts keep real historical prices but carry artificial gaps. The two answer different questions, and the label on the chart says which one it is.

How to check these numbers yourself

Every date and figure here can be checked on public pages.

• Month codes: CME Group’s Contract Month Codes page.
• E-mini S&P 500 rules and dates: the contract specs and calendar tabs on CME’s E-mini S&P 500 product page; the Volume & OI tab shows open interest by contract month.
• Roll dates: CME’s Equity Index Roll Dates page, which lists expiration and roll dates for upcoming quarters.
• WTI crude oil: the specs and calendar tabs on CME’s Crude Oil futures page.
• Prices: Yahoo Finance history pages for ESZ26.CME, ESH27.CME and ^GSPC; the T-bill rate is FRED series DTB3.
• On our site, the futures lesson is at /learn/futures, and our ranges and tools page is at /markets.