When to Roll: The Typical Roll Day in Futures
Updated October 10, 2026
What the roll is and why the day matters#
A futures contract has an expiration date. Before it arrives, anyone who wants to stay in the market closes the position in the expiring contract and opens it in the next one. That switch is called the roll, and it does not happen on the last day: volume moves earlier.
The day matters for two reasons. If you stay in the old contract you trade with less liquidity and a wider spread. And if you look at a continuous chart you see a price jump that is not a market move, just the difference between two contracts.
The table measures, for ten contracts, how many business days before expiration the next contract takes over the volume.
The typical day, contract by contract#
In the four index futures, ES, NQ, RTY and YM, the median is 4 business days before expiration: the Monday of expiration week. Over 20 rolls, the earliest was 5 days before and the latest 3.
Crude oil (CL) rolls 2 business days before, with a range of 4 to 2 over 60 rolls, because it expires every month. The euro (6E) is the most regular in the table: 1 business day before in all 20 rolls measured.
Gold and silver roll much earlier: 21 and 22 business days, with ranges of 23 to 19. Treasuries too: 16.5 days for ZN and 16 for ZB, between 18 and 14.
When volume moves to the next contract: the typical roll day
ES, NQ, RTY, YM, GC, SI, CL, ZN, ZB, 6E
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| Future | Typical day (business days before expiration, median) | Earliest to latest roll | Rolls measured |
|---|---|---|---|
| ES | 4 | 5–3 | 20 |
| NQ | 4 | 5–3 | 20 |
| RTY | 4 | 5–3 | 20 |
| YM | 4 | 5–4 | 20 |
| GC | 21 | 23–19 | 25 |
| SI | 22 | 23–19 | 25 |
| CL | 2 | 4–2 | 60 |
| ZN | 16.5 | 18–14 | 20 |
| ZB | 16 | 18–14 | 20 |
| 6E | 1 | 1 | 20 |
n = 250 · 2021-10-20 to 2026-09-28 · exchange data
Rolls whose outgoing contract expired between 1-Oct-2021 and 30-Sep-2026. The roll is the hand-over between two contracts that lead daily volume. 'Volume moves' = business days before the outgoing contract's expiration from which the next contract had at least half of the two contracts' combined volume, every day until expiration. 4 means the switch happened four business days before the last trading day. In gold and silver the hand-over is between the active months (February, April, June, August and December in gold; March, May, July, September and December in silver) and happens before first notice day, which is why it sits about four weeks before expiration; Treasury futures (ZN, ZB) work the same way and the switch sits about three weeks out. CME daily volume per contract, full session. It is what happened, not a guaranteed date for the next roll.
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Why gold and Treasuries roll weeks earlier#
Physically delivered contracts have a date before expiration, first notice day, after which anyone holding a long position can be assigned a delivery notice. Most participants leave before that day, and volume leaves with them.
Gold and silver add something else: not every month is an active contract, so the roll jumps from one active month to the next, which can be two months away.
Index futures are cash settled and the euro has no such notice period, which is why their volume holds until expiration week.
What this table does not say#
It does not say the next roll will land on that day. It is the median of the rolls whose contract expired between October 2021 and September 2026, and the range shows it can come a day or two earlier or later.
It does not measure open interest, which usually moves more slowly than volume, or the price difference between the two contracts.
And the samples are 20 to 60 rolls per contract. For the roll in progress, what counts is looking at the volume of both contracts that same day.
How to use it#
Mark your contract's typical day on the calendar and check the volume of both expirations from a couple of days before. If you trade ES, that is the Friday before expiration week.
If you compute statistics on a continuous series, exclude the roll day: the jump between contracts contaminates gaps, ranges and streaks. The tables on this site do.
Tracking of the roll in progress, with the share of volume that has already moved to the next contract and the estimated date, is inside the platform. This content is informational and is not personalized investment advice; trading futures carries a risk of loss.
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Frequently asked questions
- When do ES and NQ roll?
- Volume moves to the next contract a median of 4 business days before expiration: the Monday of expiration week. Over the 20 rolls measured between 2021 and 2026 it happened between 5 and 3 days before.
- Why does gold roll so early?
- Because it is a physically delivered contract: most participants leave the expiring contract before first notice day. In gold (GC), volume moved to the next active contract a median of 21 business days before expiration, over 25 rolls.
- What happens if I keep trading the old contract?
- It keeps trading until its last day, but with less volume and a wider spread as expiration approaches. In physically delivered contracts, holding a position past first notice day can also bring a delivery notice.
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How to cite this data
The tables on this page are our own work, built from exchange data. You may reproduce them, translate them or build on them, including commercially, as long as you credit the source and link back to the original page. If you use them, tell us: we like knowing what they get used for.
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Suggested citation:
Perfiltrade (October 10, 2026). When to Roll: The Typical Roll Day in Futures. https://www.perfiltrade.com/en/learn/when-to-roll-futures-contracts
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