The #F symbols are designed to be used with long term charts. Most of the rollovers are done at 13:25 Pacific time the previous afternoon. So if something is set to rollover on “FIRST NOTICE DAY” it means that the roll will actually occur on the afternoon before the FND. There are a few exceptions to this rule like the energy contracts on the NYMEX (Crude Oil). These are rolled on the afternoon of the stated day.
The general rule is 3 days before expiration, but there are some symbols that are rolled earlier due to low volume or forced rollovers from the exchange. This is done to make sure the daily high/low ranges aren’t too small or nonexistent. Unless otherwise specified below any early rollover is due to lack of activity on the expiring contract.
FIRST NOTICE DAY = First trading day of the month of the contract for all symbols
For instructions on creating User-Defined Continuous Contracts, please review KB Article 2258.
| COMEX/NYSE LIFFE | |||
| Symbols | Months | Rollover | Comments |
| GC, QS, ZG, YG | Feb, Apr, Jun, Aug, Dec | last business day of previous month (FIRST NOTICE DAY) | October contract purposely omitted due to low volume. |
| XQC | Mar, May, Jul, Sept, Dec | 3 calendar days from expiration | |
| ZQO | Feb, Apr, Jun, Aug, Dec | 30 calendar days from expiration | |
| ZQI | Mar, May, Jul, Sept, Dec | 3 calendar days from expiration | |
| ZGN | Feb, Apr, Jun, Aug, Dec | last trading day | |
| ZSN | Mar, May, Jul, Sept, Dec | last trading day | |
| SI, HG, ZI, YI | Mar, May, Jul, Sept, Dec | last business day of previous month (FIRST NOTICE DAY) |
| NYMEX | |||
| Symbols | Months | Rollover | Comments |
| CL, QM, NG, HO, XRB | all months | expiration day | |
| PA | Mar, Jun, Sept, Dec | last business day of previous month (FIRST NOTICE DAY) | |
| PL | Jan, Apr, Jul, Oct | last business day of previous month (FIRST NOTICE DAY) |
| ICE Futures US | |||
| Symbols | Months | Rollover | Comments |
| KC | Mar, May, Jul, Sept, Dec | 29 calendar days from expiration | |
| CC | Mar, May, Jul, Sept, Dec | 27 calendar days from expiration | |
| CT | Mar, May, Jul, Dec | 15 calendar days expiration | |
| JO | Jan, Mar, May, Jul, Sept, Nov | 15 calendar days from expiration | |
| SB | Mar, May, Jul, Oct | 15 calendar days from expiration | |
| DX | Mar, Jun, Sept, Dec | 3 calendar days from expiration | |
| CI | Jan, Feb, Apr, Jun, Aug, Nov | 8 calendar days from expiration | |
| YU, MU, R, XXR, TF | Mar, Jun, Sept, Dec | 8 calendar days from expiration | Forced rollover on Thurs. |
| PD, EJ, EO | Mar, Jun, Sept, Dec | Same as CME Currencies |
| CME Currencies | |||
| Symbols | Months | Rollover | Comments |
| AD, 6A, QAD, BP, 6B, QBP, EC, 6E, QEC, ZE, JY, 6J QJY, ZJ, ME, 6M, QME, SF, 6S, QSF, NE, 6N, QNE, RU, 6R, QRU, RA, 6Z, QRA, KRW, PLZ, PLN, QLZ, HFO, HUF, QFO, CKO, CKZ, QKO, RP, RY, RF, QK, QN, QE, QI, QA, QC, QD, QH, QZ, QO, QP, QY, QF, RMB, RME, RMY | Mar, Jun, Sept, Dec | 1 trading day from expiration | always on Thursday |
| CD, 6C, QCD | Mar, Jun, Sept, Dec | 2 trading days from expiration | always on Thursday |
| BR, 6L, QBR | Mar, Jun, Sept, Dec | 2 trading days from expiration |
| CME Mini Index Futures | |||
| Symbols | Months | Rollover | Comments |
| ES,NQ,MC | Mar, Jun, Sept, Dec | 8 calendar days from expiration | Forced rollover on Thurs. |
| CME Livestock | |||
| Symbols | Months | Rollover | Comments |
| LC, LE, QLC | Feb, Apr, Jun, Aug, Oct, Dec | 3 trading days from expiration | |
| FC, GF, QFC | Jan, Mar, Apr, May, Aug, Sept, Oct, Nov | 3 trading days from expiration | |
| LH, HE, QLH | Feb, Apr, May, Jun, Jul, Oct, Dec | 3 trading days from expiration | |
| PB, GBP, QPB | Feb, Mar, May, Jul, Aug | 3 trading days from expiration |
| CBOT Index Futures | |||
| Symbols | Months | Rollover | Comments |
| YM, DJ, ZD, DD, QDJ | Mar, Jun, Sept, Dec | 8 calendar days from expiration | Forced rollover on Thurs. |
| CBOT Interest Rates | |||
| Symbols | Months | Rollover | Comments |
| US, TY, ZB, ZN, QTY, QUS | Mar, Jun, Sept, Dec | Last trading day of the previous month. Forced rollover at the exchange | about 15 trading days before expiration (FIRST NOTICE DAY) |
| FV, TU, FF, ZF, ZT, ZQ, QFV, QTU, QFF | Mar, Jun, Sept, Dec | Last trading day of the previous month. Forced rollover at the exchange | about 23 trading days before expiration (FIRST NOTICE DAY) |
| CBOT Grains | |||
| Symbols | Months | Rollover | Comments |
| C,YC,ZC,QBC,QYC,XC,O,ZO, QZO,W,ZW,YW,XW,QBW,QYW |
Mar, May, Jul, Sept, Dec | 11th business day of the previous month | |
| S, ZS, YK, XB, QBS, QYK | Jan, Mar, May, Jul, Aug, Sept, Nov | 11th business day of the previous month | |
| RR, ZR, QRR | Jan, Mar, May, Jul, Sept, Nov | 11th business day of the previous month | |
| SM, ZM, QSM, BO, ZL, QBO | Jan, Mar, May, Jul, Aug, Sept, Oct, Dec | 11th business day of the previous month | |
| BCX | Jan, Mar, May, Jul, Aug, Sept, Oct, Nov, Dec | Rollover on expiration day | Exception |
| KCBT Futures | |||
| Symbols | Months | Rollover | Comments |
| KW, KE, MWE | Mar, May, Jul, Sept, Dec | 11th business day of the previous month |
| Nikkei 225 | |||
| Symbols | Months | Rollover | Comments |
| NK | Mar, Jun, Sept, Dec | 1 trading day from expiration |
Charting Expired Contracts
In order to chart expired futures contracts you will need to enter the symbol, a space, the expiration month code and then the 4 digit year.
For example:
US Z2009 is the US 30yr Bonds for December 2009
AX U2009-DT is the September 2007 DAX on the Eurex exchange
Update: Rollover Lookup
The eSignal 10.6 gives us a tool to handle continuous contracts. Under Tools, Configure Continuous Contracts, is a window that let's a user define exactly what roll strategy they wish to use.
We also had to have some default way of rolling these new types of symbols for those users that didn't want to specify their own rules. For this, we mirrored the same roll strategy we were already using for #F symbols. We did this by the use of a local file stored in the eSignal folder, rollprefs.tab. eSignal uses this file whenever a user has not defined there own custom configuration. When a user does specify their roll preferences, it is stored in user-rollprefs.tab. For example, if you were to pull up a chart on ES 1!, eSignal will go to user-rollprefs.tab to see if there is an entry for ES. If there is not, eSignal will use the defaults in rollprefs.tab.
When the Configure Continuous Contracts window is opened, the contracts that are displayed there are the ones listed in the user-rollprefs.tab. Because of this, we can actually look up what the #F roll strategies are by replacing the user-rollprefs.tab with rollprefs.tab. (Please note that this process will overwrite any custom Continuous Contracts settings you have performed previously on domestic future symbols.)
- Close eSignal.
- Open Windows Explorer by right-clicking the Windows Start button, and select Explore.
- Navigate to the eSignal folder (default is c:\Program Files\eSignal).
- Find and right-click the file user-rollprefs.tab, and select Rename.
- Rename the file to user-rollprefs.old.
- Find and right-click the rollprefs.tab, and select Rename.
- Rename the file to user-rollprefs.tab.
- Launch eSignal.
At this point, you will be able to view the default rollover strategies, by clicking on Tools, Configure Continuous Contracts, and then select the desired root symbol in the Contracts area.