Futures Rollover Dates — Quarterly Expiration Cycle Explained

By Diego · Published 2026-06-04 · Last reviewed 2026-06-04

The quarterly expiration cycle

CME equity-index futures — including all four micro equity-index contracts — expire four times per year in a fixed quarterly pattern. The four expiration months are:

The expiration day and settlement time are defined by CME Group in each contract’s official specification. At final settlement, CME publishes a Special Opening Quotation (SOQ) — a single opening-print price derived from the actual opening trades of all component stocks in the index — which serves as the cash settlement reference. This SOQ is used for MES, MNQ, MYM, and M2K final settlement.

Expiration convention (3rd Friday, quarterly H/M/U/Z) verified via NinjaTrader MYM contract page and NinjaTrader M2K contract page (both verified 2026-06-04).

Contract month codes: H, M, U, Z

Futures tickers append the contract month code and a year digit. Examples using MES:

The same letter codes apply to every CME equity-index contract: MNQ, MYM, M2K, as well as their full-size counterparts (ES, NQ, YM, RTY). Knowing the code lets you identify the expiration month from any ticker without looking it up.

CME also lists contracts up to five quarters out (“5 Quarters Out” per NinjaTrader MYM contract page, verified 2026-06-04), so there are always multiple future expiration dates available for each contract. Retail day traders almost always trade the front-month (nearest expiration) contract because that is where volume and open interest are concentrated.

How the rollover works: volume migration

A “rollover” happens when the market’s collective participation shifts from the expiring front-month contract to the next-quarter contract. This is not a single event — it is a gradual migration of open interest and volume that plays out over a multi-day window before expiration.

The practical sequence:

1. Before the roll window: Nearly all volume and open interest sits in the front-month contract (e.g., MESU6). The next-quarter contract (e.g., MESZ6) trades with wider bid/ask spreads and lower depth.
2. Roll window begins: Institutional and algorithmic traders begin closing front-month positions and opening equivalent positions in the next-quarter contract. This typically occurs in the final 7–10 trading days before expiration. Open interest starts migrating.
3. Crossover point: At some point in the roll window, the next-quarter contract’s open interest exceeds the front-month. Volume also crosses over. This is the signal that the “front month” has effectively changed.
4. Expiration day: Any remaining open positions in the expiring contract settle in cash. The next-quarter contract is now the front month and carries the bulk of market activity.

The practical takeaway: roll when volume migrates, not on a fixed calendar date. Watch open interest and volume on your trading platform. On most brokers’ front-end interfaces, you can see today’s volume for both the current and next-quarter contract. When the next-quarter contract’s intraday volume consistently exceeds the front month, the market has rolled.

Settlement: how micro equity-index contracts expire

All four CME micro equity-index contracts are financially (cash) settled. This is confirmed per contract:

Cash settlement at expiration means: if you bought MES at 5,200 and the SOQ settlement price is 5,250, the CME credits $250 to your account — a 50-point move at MES’s $5-per-point multiplier (equivalently, 200 ticks of 0.25 points × $1.25 per tick). There is no action required from you — the cash transfer is automatic.

For most retail day traders this is irrelevant because they close positions before the session ends each day. The settlement mechanic matters if you ever hold a futures position through expiration, which is unusual for retail micro traders.

How this differs from physically-settled futures

For contrast: the standard WTI Crude Oil contract (CL, full-size) is physically settled. Holders of long CL positions at expiration must take delivery of 1,000 barrels of crude oil at Cushing, Oklahoma. Retail traders who accidentally hold CL through the first notice day receive delivery notices and face significant logistical and financial obligations. This is why retail CL traders must track the first notice day carefully and always roll before that date.

MCL, the micro WTI contract, does not carry this risk: it is financially settled. The micro product was specifically designed to remove the delivery burden. Verify settlement terms with your broker for any contract before trading it, especially on expiration week.

MCL expiration: monthly, not quarterly

MCL (Micro WTI Crude Oil) follows a monthly expiration schedule — a contract is available for every calendar month, not just quarterly. The expiration convention differs from equity-index micros:

• MCL expires one business day before the corresponding standard CL (WTI Crude Oil) contract expiration
• CL typically expires on or about the 25th calendar day of the month prior to the contract month (e.g., the CL December 2026 contract expires around November 20, 2026)
• MCL December 2026 would therefore expire one business day before CL December 2026’s last trading day

The exact MCL expiration date varies monthly because it tracks CL’s calendar, which itself shifts around the 25th calendar day. Always confirm the exact MCL expiration date on CME Group’s official expiration calendar for the specific contract month you are trading. See the MCL tick value guide for the full MCL contract spec.

Contract specs at a glance: expiration by contract

For the full micro contract spec table including tick values, multipliers, and margin figures, see the micro futures contract specifications pillar.

The quadruple witching connection

The quarterly expiration Fridays for equity-index futures coincide with the simultaneous expiration of stock index futures, stock index options, and single-stock options. The date is traditionally called “quadruple witching” because a fourth class, single-stock futures, used to expire alongside them — but single-stock futures ceased trading in the US in 2020, so the event is now effectively triple witching. The older name is still in wide use.

On witching Fridays, trading volume in equity markets is significantly elevated and price movements can be amplified by large-scale institutional rebalancing, expiration-related hedges being unwound, and arbitrageurs aligning futures prices with fair value ahead of the SOQ settlement print. Retail micro-futures day traders should be aware that these days carry higher-than-usual volatility and potential for unusual price spikes, particularly around the open and into the final hour of RTH.

Frequently asked questions

When do micro equity-index futures expire?

CME micro equity-index futures (MES, MNQ, MYM, M2K) expire on the third Friday of every quarterly contract month: March, June, September, and December. These dates are traditionally called 'quadruple witching' because they coincided with the simultaneous expiration of stock index futures, stock index options, single-stock options, and single-stock futures — though single-stock futures ceased trading in the US in 2020, so the event is now effectively triple witching.

What do the contract codes H, M, U, Z mean?

The contract month codes are standard across CME futures: H = March, M = June, U = September, Z = December. The contract ticker appends the code and a year digit. For example, MESH6 is the March 2026 MES contract, MESM6 is June 2026, MESU6 is September 2026, and MESZ6 is December 2026.

When should I roll my micro futures contract?

There is no single required roll date, but the practical answer is: roll when volume migrates to the next contract. For equity-index micro futures, open interest and volume in the next-quarter contract typically exceed the expiring contract in the final 7 to 10 trading days before expiration. Rolling earlier (before the volume shift) means wider spreads in the back-month contract; rolling too late means you may face reduced front-month liquidity. Watch the open interest and volume numbers on your platform.

What happens if I hold a micro futures contract through expiration?

For MES, MNQ, MYM, and M2K, which are all financially (cash) settled, the CME calculates the difference between your entry price and the final settlement value of the index, and credits or debits cash to your account. No physical delivery occurs. For MCL, which is also financially settled, the same cash-settlement process applies. You do not need to arrange delivery of barrels of oil.

Does MCL crude oil follow the same quarterly rollover as equity-index micros?

No. MCL (Micro WTI Crude Oil) has monthly expirations, not quarterly. A new MCL contract is available for every calendar month. The front-month MCL contract expires one business day before the corresponding standard CL contract expiration. Equity-index micro futures (MES, MNQ, MYM, M2K) expire only four times per year.

What is the difference between cash-settled and physically-settled futures at rollover?

Cash-settled futures (like MES, MNQ, MYM, M2K, and MCL) settle in cash at expiration against a final index or commodity reference price. You can hold them to expiration and receive or pay the cash difference. Physically-settled futures (like the standard WTI Crude Oil contract, CL) require actual delivery of the commodity if held to expiration. For physically-settled contracts, traders must roll or close before the first notice day to avoid delivery obligations. None of the micro futures covered on this site are physically settled.

Methodology & sources

Expiration cycle (quarterly, 3rd Friday) and contract month codes (H/M/U/Z) confirmed via NinjaTrader MYM contract page (verified 2026-06-04: “Quarterly: March(H), June(M), September(U), December(Z) — 5 Quarters Out” and “3rd Friday of every listed contract month”) and NinjaTrader M2K contract page (same convention confirmed, verified 2026-06-04). Settlement types (financially settled) confirmed per contract on NinjaTrader contract pages (verified 2026-06-04). MCL monthly expiration convention and tie to CL calendar confirmed via NinjaTrader MCL contract page (verified 2026-06-04). Volume migration timing described is observable from open interest and volume data; the 7–10 trading day window is a descriptive characterization of typical market behavior rather than an exchange-mandated rule.

• NinjaTrader — Micro E-mini Dow (MYM) Contract Page — NinjaTrader, verified 2026-06-04 (quarterly H/M/U/Z, 3rd Friday, financially settled)
• NinjaTrader — Micro E-mini Russell 2000 (M2K) Contract Page — NinjaTrader, verified 2026-06-04 (same expiration convention confirmed)
• NinjaTrader — Micro WTI Crude Oil (MCL) Contract Page — NinjaTrader, verified 2026-06-04 (monthly expiration, financially settled, ties to CL calendar)
• AMP Futures Contract Specifications — AMP Futures, verified 2026-06-04 (contract months H/M/U/Z for MYM/M2K confirmed)
• CME Group Holiday Calendar & Expiration Dates — CME Group (authoritative source for exact expiration dates; updated annually)