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Insights Erianux Contracts 14 September 2026 4 min

Rollover: why your chart jumps four times a year

Quarterly expiries, the roll a week before them, the calendar spread that makes the gap, and what back-adjusting does to the levels on your chart.

Equity index futures do not trade forever. Each contract has an expiry date, and before it arrives the market moves its business to the next contract. If your chart suddenly shows a gap that never happened, or your levels stop lining up, rollover is usually the reason.

The calendar

The CME equity index futures, including ES, NQ, YM, RTY and their micros, list quarterly contracts for March, June, September and December. Their month codes are H, M, U and Z, which is why the September Nasdaq contract appears as NQU, or as NQ 09-26 in NinjaTrader. Each quarterly contract reaches final settlement on the third Friday of its month.

Traders do not wait for that Friday. Volume moves to the next contract about a week earlier. The common convention is the Thursday of the week before expiry, eight days ahead of it. After that point the old contract gets thinner every day, and the new one is where the order flow is.

Why the chart jumps

The two contracts do not trade at the same price. The later contract reflects the cost of holding the index for another three months, less the dividends expected in that time. That difference is the calendar spread. Join the two contracts together without adjusting for it, and the chart shows a jump at the roll that no trader ever traded.

Back-adjusting removes the gap and moves the history. A back-adjusted chart shifts all older prices by the spread at each roll, so the line is continuous. The shape is honest, but the old prices are no longer the prices that printed. Levels drawn on last quarter's highs will not match the price you remember.

In NinjaTrader 8

NinjaTrader controls this in the Control Center under Tools, Options, Market data, with the setting called merge policy. Its choices are to merge back-adjusted, to merge without back-adjusting, or not to merge at all. Not merging shows only the contract you selected, with no history from the one before it. Whichever you choose, use the same choice everywhere, or levels calculated on one chart will not match another.

What to actually do with it

  • Put the roll date in your calendar each quarter, and switch the contract on your charts and your order entry that day.
  • Expect thinner trade in the old contract after the roll. Fills there get worse, not better.
  • Be careful with prior-session and prior-week levels across a roll. Check whether your chart is adjusted before you trust them.
  • Confirm the exact dates on the exchange's own calendar, because holidays can move them.