Quarterly expiry

Quarterly expiry is the listing cycle of CME equity index futures such as ES, NQ, MES and MNQ, whose contracts expire in March, June, September and December. Each expiry is a distinct contract identified by a month code, and the transition between them is the contract roll.

Senzoukria · Glossary · Updated September 2026

The cycle and its codes

CME index futures are listed on the March quarterly cycle. Each contract is named by its product root, a month code and a year digit: H for March, M for June, U for September and Z for December, so ESZ6 denotes the December contract of a year ending in 6. The exact last trading day and the final settlement procedure are stated in the product's contract specification and should be read there rather than assumed.

  • Four expiries per year for ES, NQ, MES and MNQ.
  • Month codes H, M, U, Z; year given by its last digit or two digits depending on the platform.
  • Cash settlement against the index at expiry; no delivery of shares.

What changes around expiry

In the sessions leading to expiry, volume migrates to the next contract and the expiring one thins out. Charts and indicators should follow the active contract. Session-based levels such as the session open, the initial balance or the developing value area belong to the contract they were computed on, and a series like cumulative delta restarts on the new contract because it is a new tape.

Implications for backtests

  • A multi-quarter test crosses several expiries and needs a stated roll policy.
  • Roll days mix two contracts and are commonly excluded.
  • The contract used each day should be part of the test record, together with source, session and missing intervals.

In Senzoukria

The symbol picker works with the front contract for futures, so the expiry currently charted is the one you selected; the guided tour points this out when it opens the picker. The Replay screen lists recorded sessions per "Contract", and the journal's review-in-Replay action requires a CME contract and an entry time. In the Backtest screen, the Databento import for a contract root keeps the dominant contract minute by minute and excludes rollover days, reporting how many contracts were stitched.

Common mistakes

  • Confusing the calendar month with the expiry month: a March contract is the front month for much of the winter.
  • Assuming the roll happens on expiry day, when volume usually moves earlier.
  • Reading a month code with the wrong year digit and charting a contract that barely trades.

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Frequently asked questions

What do the letters H, M, U and Z mean in a futures symbol?
They are exchange month codes: H is March, M is June, U is September and Z is December. Combined with the product root and a year digit they identify one specific contract, such as NQH7 for a March expiry. Other products use additional codes for the remaining months.
Does expiry change the price of the future?
Expiry itself settles the contract against the index. The visible price difference is between the expiring and the next contract, which trade at different prices because of the basis between their settlement dates. That difference is why a level from one expiry is not at the same price on the next.

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