MYM contracts and rollover: what you need to know about expiration

Unlike stocks, futures contracts have an expiration date. For an MYM trader that means four times a year when you have to move to a new contract month. It's simple, but not knowing the rules can be costly: from trading an illiquid contract to wrong levels on your chart.

MYM basics

• MYM is the micro futures contract on the Dow Jones Industrial Average, listed on the CME (CBOT).
• One index point is worth $0.50, and the minimum price increment is 1 point.
• The contract has four expirations a year: H (March), M (June), U (September), Z (December).
• A symbol such as MYMZ26 is the December 2026 contract.

Expiration and rollover

• A contract expires on the third Friday of the contract month.
• Liquidity rolls to the next contract usually about a week before expiration. From then on most participants trade the new contract.
• After the roll, the old contract has lower volume and wider spreads.
• Check the exact dates in the contract specifications on the CME website or with your broker.

The continuous contract

Charts often use a continuous contract that joins successive contracts into one data series. Important questions:

• When does the platform switch contracts? By date or by volume?
• Is the price difference between contracts adjusted? Successive contracts trade at different prices. Without adjustment, an artificial gap appears on the chart and levels from the previous period may be shifted.
• Which contract are the levels calculated from? A monthly profile or long-period moving averages can look different on the continuous contract and on a single contract month.

In my analytical system, longer-period levels are calculated on the continuous contract, taking the liquidity roll into account, so that they match what you see on the chart.

Rollover week checklist

1. Check the expiration date of the current contract.
2. Watch for when the new contract's volume exceeds the old one's.
3. Update the symbol on all charts and in your order entry platform.
4. Check that the continuous contract and the longer-period levels are correct.
5. Make sure you have no working orders left on the old contract.

Exercise

Check how the continuous contract is defined in your platform: when it switches contracts and whether it adjusts for the price difference. If you don't know, ask in ❓ Ask Lucas.

Educational content, not investment advice. No signals, entries or position sizes.