Futures Market Expiry Calendar: Global Exchange Dates, Contract Months, Settlement Rules, Rollover Strategies & Margin Policies
Futures Market Expiry Calendar: Global Exchange Dates, Contract Months, Settlement Rules, Rollover Strategies & Margin Policies
Key Takeaways
- Expiry calendars vary significantly across global exchanges and product types - what works for equities won't necessarily apply to commodities
- Margin requirements get crazy volatile during expiration week - most brokers ramp up requirements dramatically as contracts near expiry
- Rollover timing is everything - move too early and you lose liquidity, too late and you'll pay premium pricing for the next contract month
- Settlement methods determine your actual obligation - cash settlement is straightforward but physical delivery can create logistical nightmares
- Tracking systems are essential - without organized calendar management, you'll constantly miss critical dates and take unnecessary losses
1) Futures Expiration Basics: What Actually Happens When Contracts Expire
Futures contracts have a limited lifespan unlike stocks or ETFs. This expiration mechanic fundamentally shapes how we trade these instruments. Every futures contract has a specific expiration date when trading stops and settlement occurs. This typically happens on the third Friday of the expiration month, though it varies by contract and exchange . The constant cycle of expiration and new contract creation is what makes futures calendars so essential to track.
As expiration approaches, traders basically have three choices: Offset their position by taking an opposite trade, rollover to a further dated contract, or let the position go to settlement. Most retail traders offset or roll because settlement often involves either cash settlement (adjustment based on final price) or physical delivery (actually taking possession of the underlying asset) . Imagine accidentally ending up with a tanker of crude oil because you forgot to close your CL futures!
The expiration process creates unique market dynamics during what traders call "roll period." Volume shifts from the front month contract to the next month contract, creating temporary liquidity gaps and sometimes weird pricing anomalies. I've seen markets get really choppy in the week before expiration as big players adjust their positions. Its crucial to understand these rhythms rather than fight against them.
Heres a typical expiration timeline for most equity index futures:
- T-5 days: Volume begins shifting to next contract month
- T-3 days: Margin requirements often start increasing
- T-1 day: Last day for many traders to adjust positions
- Expiration day: Trading stops at specific time, settlement price determined
- T+1 day: Settlement processed, accounts adjusted
2) Decoding Contract Symbols: How to Read Futures Codes Like a Pro
Futures contracts use standardized codes that look like cryptic hieroglyphics to newcomers but actually convey important information about expiration dates and product types. The format consists of a root symbol indicating the product, followed by a single letter for the month, and a number for the year . Learning this system is fundamental to understanding expiration calendars.
The month codes aren't intuitive but they're consistent across most platforms:
- January: F
- February: G
- March: H
- April: J
- May: K
- June: M
- July: N
- August: Q
- September: U
- October: V
- November: X
- December: Z
So if we see ESZ25, we know this represents the E-mini S&P 500 futures (ES) expiring in December (Z) of 2025 (5) . This consistency helps traders quickly identify contracts across platforms. Though some platforms might use slightly different conventions, especially for less liquid products.
The tricky part comes when you're dealing with contracts that have weekly expirations or multiple expiration cycles. Some energy products have monthly expirations while equity index futures usually quarterly. Agricultural commodities often have expiration cycles aligned with harvest schedules. I keep a cheat sheet taped to my monitor because even after years of trading, I sometimes mix up those damn month codes, especially February (G) and January (F).
Here's a comparison of major product codes:
3) Global Exchange Calendars: Navigating Different Holidays and Schedules
Global futures exchanges operate on different holiday schedules and trading hours, creating a complex patchwork of expiration dates that active traders must monitor. The CME Group calendar (covering CME, CBOT, NYMEX and COMEX) serves as the benchmark for many traders, but other exchanges like ICE, Eurex, and various Asian exchanges have their own schedules . I've been caught by surprise more than once by unexpected early closes on exchanges I didn't realize were observing local holidays.
The CME Group provides downloadable holiday calendars that incorporate both holiday schedules and regular trading hours into one location . This is super helpful because holiday trading often involves modified hours rather than complete shutdowns. For example, on Good Friday 2025, CME Group products will have holiday hours on April 17-18, but some products might still trade with reduced hours .
International exchanges add another layer of complexity. The Hong Kong Futures Exchange observes different holidays than CME, and European exchanges like Eurex have their own schedule. If your trading strategy involves correlated products across different exchanges (like trading Brent crude on ICE against WTI on NYMEX), you need to be aware of days when one exchange is open while the other is closed. This can create some nasty gaps when markets reopen.
Heres a quick overview of major exchange holiday observations for 2025:
The most important practice I've developed is checking the specific holiday schedule for each product I trade about two weeks before expiration. Exchanges usually finalize holiday hours approximately two weeks prior to the holiday , so don't rely on calendars too far in advance.
4) Settlement Mechanisms: Cash vs. Physical Delivery Explained
Settlement is where the rubber meets the road in futures trading, and understanding the difference between cash settlement and physical delivery is absolutely critical. Cash settlement means positions are settled based on the final cash value of the underlying instrument, while physical delivery requires the actual transfer of the underlying asset . Most index products and many financial futures are cash-settled, while commodities often go through physical delivery.
For cash-settled products like the E-mini S&P 500, the final settlement price is typically based on a special opening quotation or volume-weighted average price on expiration day. The profit or loss is simply credited or debited to your account . This is clean and efficient - no worries about taking delivery of 500 companies' stocks.
Physical delivery is a whole different ballgame. If you hold a short position in crude oil futures through expiration, you're theoretically obligated to deliver 1,000 barrels of WTI-grade crude to the designated delivery point in Cushing, Oklahoma. Conversely, if your long, you need to take delivery and arrange storage . Most brokers have strict policies to prevent retail traders from accidentally entering delivery, often closing positions well before expiration if account qualifications aren't met.
The settlement process itself involves daily mark-to-market settlement for open positions, with the final settlement occurring on expiration. For daily settlement, the settlement price is typically based on the last 30 minutes' volume-weighted average price . This daily settling is why futures margins are so important - they ensure everyone can meet their obligations daily rather than just at expiration.
From experience, I always triple-check the settlement method for any new product I trade. I know one trader who learned about physical delivery the hard way with live cattle futures - lets just say he was quite surprised when his broker called about taking delivery of actual livestock. Most brokers like Zerodha explicitly warn that "if an individual holds an ITM stock option or a futures contract upon expiry, they must give or take delivery of the underlying stock" .
5) Margin Policies Near Expiry: How Requirements Change as Contracts Approach Expiration
Margin requirements don't stay static as contracts approach expiration - they typically increase significantly to account for the higher volatility and delivery risk. This is one of the most important yet overlooked aspects of futures expiration calendar management. Both exchanges and brokers ramp up margin requirements as expiration nears, sometimes to levels that can surprise unprepared traders .
For physically-settled products, margin requirements can increase dramatically in the final days before expiration. Zerodha's policy, for example, shows how margins escalate: "The margin requirement for all stock futures and short options contracts increases on the expiry day to 50% of the contract value or 1.5 times NRML margin (whichever is lower)" . This means your margin requirement could potentially double or triple right when you need flexibility most.
Even for cash-settled products, margin often increases due to the elevated volatility around expiration. The period when contracts are rolling over creates unusual price action as large positions are adjusted. I've seen margin requirements for ES futures increase by 25-30% in the week before expiration, even though they're cash-settled and don't have delivery risk.
The timeline for margin increases follows a predictable pattern:
- E-4 Day (4 days before expiry): Initial margin increases often begin, typically around 10% of VaR + ELM + Adhoc margins for physically-settled products
- E-2 Day: Margins often jump to 45% of risk margins
- E-1 Day: Can reach 25% of full contract value
- Expiry Day: Often 50% of contract value or higher
This escalating margin requirement is why many traders exit or roll positions well before expiration - the capital efficiency disappears as margins increase. I typically plan my rolls for when the next contract month reaches sufficient liquidity, which usually happens around 5-7 days before expiration for most products I trade.
6) Rollover Strategies: Timing Your Contract Transitions Perfectly
Contract rollover is both an art and science - getting the timing right significantly impacts your trading costs and performance. Rollover involves closing your position in the front month contract and opening a similar position in the next contract month . The goal is to maintain your market exposure while avoiding the complications of expiration.
The optimal rollover timing depends primarily on liquidity migration. Volume typically shifts from the front month to the next month contract gradually over the week before expiration. I watch the volume and open interest figures daily as expiration approaches, looking for the point where the next month's volume exceeds the front month's volume. This is usually the sweet spot where bid-ask spreads are tightest in the new contract.
Another consideration is the calendar spread - the price difference between contract months. This spread isn't constant and can work for or against you during rollover. Contango (forward months trading at a premium) means you'll pay to roll long positions, while backwardation (forward months trading at a discount) means you'll receive a credit. I keep a spreadsheet tracking historical spread patterns for the products I trade regularly.
The actual mechanics involve placing a spread trade rather than two separate trades. Most platforms allow you to enter the roll as a single transaction (buy/sell the spread), which gives you better execution than leging into each side separately. The difference in price between your exit and entry becomes your new cost basis for the position.
From hard experience, I've developed these rollover rules for myself:
- Start planning 10 days before expiration - mark your calendar and begin monitoring volume migration
- Execute rolls when next month volume reaches 60-70% of total volume - this ensures sufficient liquidity
- Avoid rolling on expiration day - the volatility and wide spreads aren't worth it
- Consider tax implications - in some jurisdictions, rolling may constitute a taxable event
- Always use spread orders rather than legging - the execution quality is significantly better
7) Creating Your Expiry Tracking System: Practical Tools and Approaches
Building a reliable expiration tracking system is what separates professional traders from amateurs in the futures markets. With dozens of products across multiple exchanges, you can't rely on memory or last-minute checks. I've developed a simple but effective system that combines calendar alerts, spreadsheet tracking, and broker notifications.
The foundation is a master calendar that includes all expiration dates for the products I trade regularly. I use a simple spreadsheet with columns for: Product name, root symbol, expiration date, first notice day (if applicable), last trade day, settlement method, and any special notes. I color-code by exchange and set automated alerts for 10 days, 5 days, and 1 day before each expiration .
Most brokers provide expiration calendars and tools, but I've found they're not always reliable or timely. The CME Group offers an "enhanced interactive calendar tool to find relevant product dates" that lets you filter by product name, clearing code, or type of trading event . I sync this with my Google Calendar using their export Function.
For active traders, commercial trading platforms like ThinkorSwim and TradeStation have built-in expiration calendars that can show both your positions and upcoming dates. I use ThinkorSwim's alert system to notify me when volume shifts between contract months, giving me a heads-up on when to start planning my rolls .
Here's my simple expiration tracking template:
The most important aspect is setting reminders well before critical dates. I have calendar alerts for 10 days before expiration, 5 days before, and then daily as we get closer. This might seem excessive, but I've saved myself from numerous mistakes by having these redundant systems in place.
8) Common Expiration Mistakes and How to Avoid Them
Even experienced traders make expiration-related mistakes, but the costly ones are almost always preventable with proper systems. The most common error is simply forgetting about expiration dates altogether - I've done this myself early in my career and it's not a fun way to learn. Other frequent mistakes include misunderstanding settlement methods, miscalculating margin requirements, and poor rollover timing.
Physical delivery confusion causes some of the most expensive errors. Many traders don't realize that "all stock F&O contracts traded on Indian exchanges require compulsory delivery" , meaning if you hold positions through expiration, you're on the hook for actual share delivery. Even on U.S. exchanges, certain commodities can trigger delivery obligations that retail traders are unprepared to handle.
Margin miscalculations represent another category of common errors. As we approach expiration, "margin requirement for all stock futures and short options contracts increases on the expiry day to 50% of the contract value" . Traders who don't anticipate these increases often find themselves facing margin calls or forced liquidations at the worst possible time.
Rollover timing mistakes are more subtle but still costly. Rolling too early means trading in illiquid markets with wide spreads, while rolling too late means dealing with increased volatility and potentially unfavorable pricing. I've developed a rule of thumb: roll equity index futures when the next month's volume reaches 60-70% of total volume, and energy products 5-7 days before expiration.
The simplest solution to most expiration issues is maintaining a detailed calendar with multiple reminder systems. I use both digital calendar alerts and old-fashioned paper checklists. For each product I trade, I know exactly when I need to make decisions about rolling or closing positions. This systematic approach has saved me countless times from expiration-related errors.
Frequently Asked Questions
What happens if I forget to close a futures position before expiration?
It depends on the contract type and your account permissions. For cash-settled products, your broker will automatically settle the position at the final settlement price. For physical delivery products, if your account isn't approved for delivery, your broker will typically close the position before expiration, often at unfavorable prices. If you are approved for delivery, you'll need to fulfill the delivery obligations, which for commodities means actually taking or making delivery of the physical asset .
How far in advance should I roll my futures positions?
Most traders roll 3-7 days before expiration, but the exact timing depends on liquidity migration. Watch for when volume in the next contract month surpasses the front month volume - this is usually the ideal time to roll as it ensures tight bid-ask spreads. Rolling too early can mean trading in illiquid markets, while rolling too late exposes you to increased volatility and potential margin increases .
Are expiration dates the same for all futures contracts on an exchange?
No, expiration dates vary significantly by product type even within the same exchange. Equity index futures typically expire quarterly (March, June, September, December), while commodities may have monthly expirations or expiration schedules tied to specific seasons or events. Always check the specific expiration calendar for each product you trade .
What's the difference between last trade date and settlement date?
The last trade date is the final day a contract can be traded, while the settlement date is when the final settlement price is determined and accounts are adjusted. For many products, these occur on the same day, but some contracts have a settlement process that extends beyond the last trade date, particularly for physically-delivered products .
Do options on futures expire at the same time as the underlying futures?
Not always - options on futures often expire before the underlying futures contract, typically by several days or weeks. This allows time for exercise and assignment before the futures expiration process begins. Always check the specific expiration schedule for options series separately from the underlying futures .