Futures Contract Roll Cost Calculator — Near Month to Far Month Rollover

A futures roll is closing your position in the expiring (near month) contract and simultaneously opening the same position in the next (far month) contract. This is done to maintain continuous exposure without taking delivery. Most traders roll 1–2 weeks before the contract expiration date. ES, NQ, and most CME equity index futures expire in March, June, September, and December.

Roll your futures position when the near-month contract approaches expiration — typically the Thursday before the third Friday of the expiration month (when CME equity index futures expire). Many traders roll 5–10 trading days before expiration when the near-month contract still has good liquidity. Volume in the near month typically drops significantly in the final week.

The ES roll spread (far month minus near month) is typically 10–30 ticks ($125–$375 per contract) in a normal market. The spread reflects the cost of carry — interest rates minus dividends. In high-interest-rate environments, the roll cost is higher. You can check the current ES roll spread by looking at the difference between ESH (March), ESM (June), ESU (September), or ESZ (December) contracts.

Contango: far month price is higher than near month (common in equity index and energy futures). Rolling in contango costs money — you sell the near month cheaper and buy the far month more expensive. Backwardation: far month price is lower than near month (common in commodities with supply constraints). Rolling in backwardation gives you a credit — you sell near month higher and buy far month cheaper.

In the US, futures contracts held at year-end are marked to market under Section 1256 rules — 60% long-term / 40% short-term capital gains regardless of holding period. Rolling a futures contract is technically closing one position and opening another, which may be a taxable event. Consult a tax professional who specializes in futures trading for your specific situation.