Dictionary

Roll date

The day traders and data vendors move from the expiring contract to the next one, usually when volume tips over.

Rolling a futures position forward. Every futures contract has an expiry date, so a trader who wants to stay in the market closes the front-month contract and opens the next one. That swap is the roll, and the two contracts rarely trade at the same price.

There is no single correct roll date. Index futures conventionally roll on the Thursday a week before expiry; crude rolls several days before first-notice-day; index funds follow published schedules. What matters in practice is where volume and open-interest are, because that is where your fills will be good.

Rolling late costs you liquidity; rolling early costs you a few days of thinner markets in the new month. Most active traders watch both months' volume and switch on the day the new month takes the lead.

Example: in the week before ES expiry, September volume falls from 1.5 million to 400,000 contracts while December rises past it. That crossover day is the practical roll date.

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