Futures Contract Expiration Month Codes & Dates: A Cheat Sheet, and Some CME Lore


Futures Contract Expiration Month Codes & Dates:  A Cheat Sheet, and Some CME Lore

When you trade futures, you have to be mindful of contract expiration months and roll-over dates.  This post is my cheat sheet of important roll-over dates, and the abbreviations used by brokers to describe those dates.   And I’ve thrown in some CME lore, for fun, at the end.

Right now, I study a limited number of futures, namely:

  • US Indexes:  Dow YM, SP500 ES, NASDAQ100 NQ, Russell2000 TF (/RTY),
  • Foreign Indexes: Liffe FTSE100 Z, Germany30 FDAX, Japan 225 NU
  • Oil: WTI light sweet crude CL
  • Energy: natural gas NG
  • Metals: gold GC, silver SI, copper HG

The US and Foreign Index contracts all expire on a quarterly basis, that is, four times a year, in March, June, September, and December.   The Oil, Energy, and Metals contracts expire every month.

The contract symbol is made up of the root symbol, plus the expiration month code, plus a two digit year.   Expiration month codes are as such:


Month Code
























For example, the symbol for the SP500 emini futures contract expiring in Sept 2018 is ESU18.   The symbol for the CME Russell2000 emini futures contract expiring in December 2018 is RTYZ18. The symbol for the NASDAQ100 emini futures contract expiring in March 2019 is NQH19.  

The contracts expire on the 3rd Friday of the expiration month.  If you accidentally hold a contract into expiration, the contract will cease to exist, your position will cease to exist, and your account will be credited some cash, as though you had sold the contracts.  This is true of Cash-Settled futures (also sometimes called European-settled) contracts. All the contracts I personally am interested in, are cash-settled. (Some “older” contracts are in theory settled with physical delivery of the underlying commodity.)   Note, however, that what’s really important is your broker’s processes for handling such things. For example, I’ve heard that some brokers will allow you to set up your account such that your old contract month’s position will be closed out & a new position established, automatically. I’d worry about fees, and availability of funds.  I’ve never held a futures position into expiry, and don’t know anyone who does.

In practice, the vast majority of traders and institutions will stop trading the “old” contract, and start trading the “new” contract on the Thursday 8 days prior to contract expiration.  That is, the 2nd Thursday of expiration month. This is called the roll-over date, but be careful using that term, since it’s used to mean other things too, especially with sophisticated options traders.

I myself, I have a recurring reminder in my calendar, which pesters me with messages that day, so I’m less likely to forget.  For 2018, roll-over dates for the Index futures contracts are:

  • March 14, 2018
  • June 13, 2018
  • Sept 12, 2018
  • Dec 12, 2018

The exact timing of roll-over, on roll-over day, is a fuzzy thing, since it’s really up to individual traders & institutions as to what they opt to do.  Generally, throughout roll-over day, you’ll see volume drying up in the old contract and coming into the new contract.

Brokers and data vendors all supply a “continuous” symbol as well, to be able to track and study price action of a contract over the timespan of many, many expirations.  (The symbol is often preceded with a “$”, “@”, “#”, or period.) Some brokers will start tallying the new contract into the continuous symbol after roll-over trading day; others will at the start with the roll-over trading day.  Also note that this gets doubly confusing, since the CME “trading day” doesn’t start/stop at midnight.

So …. how about that CME lore?   You’ll notice that the expiration month codes don’t start with “A,”  and there are skipped letters. It seems some letters were reserved for specific things, in the very early days of the CME agricultural markets – for example, “C” was reserved for corn, and “E” for eggs.  And, some suspect, letters like “I” and “L” were skipped, since they can be confused with numbers. Some of the details appear to be lost forever, but the Lore of the Letters is:


A = Ask

B = Bid

C = Corn

D = (unknown)

E = Eggs

F = January

G = February

H = March

I = (unknown)

J = April

K = May

L = (unknown)

M = June

N = July

O = Oats

P = (unknown)

Q = August

R = (unknown)

S = Soybeans

T = (unknown)

U = September

V = October

W = Wheat

X = November

Y = (unknown)

Z = December 


Happy Trading!

– Andy