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ES futures rollover and contract months
ES is a quarterly contract. Here is how the months work and how this replay handles the switch. Confirm exact dates with CME Group.
ES lists March (H), June (M), September (U) and December (Z) contracts. Per CME Group, an expiring contract normally stops trading at 9:30 a.m. ET on the 3rd Friday of its month (CME's calendar lists June 2026 on Thursday, June 18), and the customary roll date is the Monday before that Friday — after it, the next quarter is treated as the lead month. You can still roll at any time.
Essentials
Month codes
H = March, M = June, U = September, Z = December — e.g. ESZ6 is December 2026.
Expiration
Normally 9:30 a.m. ET on the 3rd Friday of the contract month (CME Group). Exception: CME's roll-date calendar lists the June 2026 expiration on Thursday, June 18.
Customary roll
The Monday before expiration Friday (CME Group). 2026 roll dates: Mar 16, Jun 15, Sep 14, Dec 14.
Archive switch
The replay shows the highest-volume outright each session. In this archive the switch fell on the roll Monday every quarter: Dec 15, 2025, Mar 16, Jun 15 and Sep 14, 2026.
2026 expirations and roll dates (CME Group)
| Feature | Expiration | Customary roll date |
|---|---|---|
| ESH6 (March) | Fri Mar 20 | Mon Mar 16 |
| ESM6 (June) | Thu Jun 18 | Mon Jun 15 |
| ESU6 (September) | Fri Sep 18 | Mon Sep 14 |
| ESZ6 (December) | Fri Dec 18 | Mon Dec 14 |
Month codes: H = Mar, M = Jun, U = Sep, Z = Dec. Roll dates are customary; positions can be rolled at any time.
Sources: CME Group: equity index roll dates (opens in a new tab) · CME Group: E-mini S&P 500 specs (opens in a new tab)
Backtesting tips
Watch roll weeks
Price levels change between contract months; compare levels only within the same contract.
Avoid spreads
Calendar spreads are filtered out so the chart shows the outright price.
Frequently asked questions
Does the replay use a continuous contract?
No back-adjusted series. Each session shows the real prices of that day's highest-volume outright contract, so a price gap can appear across the roll.
Is the roll date a rule?
No. CME describes it as customary; positions can be rolled at any time.
Related
Replay ES across a roll
ES is included with Pro and Pro+; eligible new accounts can try Pro for $1 for 3 days, then $12.99/month unless cancelled.