Front-month contract

The front-month contract is the futures expiry that is nearest in time and, in most cases, the one carrying most of the trading volume and open interest. It is the contract an order flow chart should normally be built on, until volume migrates to the next expiry during the roll.

Senzoukria · Glossary · Updated September 2026

Definition

A futures product such as ES is listed for several expiries at once. The front month is the nearest expiry still trading. Its price is the reference most participants quote, its order book is the deepest and its tape is the most active. The other listed months, called deferred or back months, trade thinly until they approach the front.

  • Nearest expiry in the listing cycle.
  • Usually the highest volume and open interest.
  • Replaced by the next expiry during the roll period.

Why the front month matters for order flow

A footprint, a delta series or a DOM only describes the contract they are built on. Before the roll the front month is where executions happen, so charting a back month would show a thin book and sparse prints. After the roll the situation inverts: the old front month keeps trading until expiry, but with dwindling participation. A chart still pointed at it would show a market that is no longer the active one.

Front month and history

Because the front month changes every quarter, a long history is a sequence of contracts rather than one series. Stitching them produces a continuous contract, which is a construction with a roll policy. Order flow quantities such as delta and volume at price belong to the contract they were recorded on, and a level from one expiry cannot be carried to the next without addressing the price difference between them.

In Senzoukria

The guided tour states it directly when it opens the symbol picker: "Futures use the front contract, crypto uses a pair like BTCUSDT." The footprint page is built on the selected contract, and the Backtest screen's Databento import keeps the dominant contract minute by minute and excludes rollover days, reporting "{rolls} rollover days excluded" and the number of contracts kept. Imported bars carry no delta and no levels, as the import hint notes.

Common mistakes

  • Staying on the expiring contract after volume has moved to the next one.
  • Assuming the front month is always the nearest expiry on the calendar during roll week, when the next contract may already dominate.
  • Comparing volume between a front-month chart and a continuous series.

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Frequently asked questions

How do I know which contract is the front month?
Check the exchange's listing and compare volume and open interest between the two nearest expiries. Outside roll week the nearest expiry is the front month. During the roll, the next contract becomes the active one before the old one expires, so volume is the practical test.
What happens to my chart at expiry?
The contract stops trading on its expiry date and the feed no longer produces prints for it. A chart left on it goes quiet. Switching to the next quarterly contract before that point keeps the footprint and DOM on the active market.

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