Futures Rollover Explained: Why Charts Gap and What First Notice Day Means

Every futures contract expires. Rollover is how continuous exposure is maintained across expiries — and why a continuous futures chart can show a gap no contract ever traded through.

A futures contract has an end date. That single fact creates a problem that spot traders never face: to hold a position for longer than one contract’s life, you have to move it to the next contract. That move is called rolling, and it explains several things that look like errors the first time you see them.

The two dates that matter

For a cash-settled contract there is one date: the last trading day. After it, the contract settles in cash against a reference price and disappears. Nothing else is required.

For a physically delivered contract there are two, and the earlier one is the important one:

First notice day (FND) — the first day the exchange may assign you a delivery obligation if you are long. This usually comes before the last trading day.
Last trading day (LTD) — the final day the contract trades.

A trader with no use for 1,000 barrels of crude at Cushing, Oklahoma has to be out of a physically-delivered contract before first notice day, not before last trading day. Confusing the two is the expensive mistake in futures, and it is why our expiry calendar lists both.

Cash-settled contracts — including Micro WTI (MCL), all the equity index contracts, Brent (BZ) and the 1-ounce gold contract (1OZ) — have no first notice day at all. For a smaller account that alone is a meaningful simplification.

What rolling actually involves

Rolling is two trades: close the position in the expiring contract, open the equivalent position in the next one. Most platforms let you do it as a single spread order, which is generally the cheaper route because you are quoted the difference between the two months rather than crossing two separate bid-ask spreads.

The roll spread — the price difference between the expiring and the next contract — is not usually zero. It reflects the cost of carry: storage, insurance and financing for a physical commodity, or the interest-rate and dividend differential for an index. When the deferred contract is more expensive the market is in contango; when it is cheaper, backwardation.

Why the chart gaps

This is the part that causes the most confusion. A “continuous” futures chart — GC1!, CLc1, ES#, depending on your provider — is a synthetic series stitched together from a sequence of different contracts. On roll day it stops plotting one contract and starts plotting another.

If the two contracts trade at different prices, and they normally do, the stitched chart shows a jump that no actual contract ever traded through. Your position did not gap. The chart changed what it was measuring.

Providers handle this in different ways:

Unadjusted — the raw jump is left in. Prices are real, but historical percentage moves across a roll are wrong.
Back-adjusted — historical prices are shifted so the series is continuous. Percentage moves are then correct, but the historical prices no longer match what actually traded, and on a long enough series back-adjustment can even push old prices below zero.
Ratio-adjusted — historical prices are scaled rather than shifted, which keeps percentage changes intact and avoids negative prices.

There is no universally right answer, which is why providers disagree. The practical point is to know which one your chart uses before drawing conclusions from a level that sits on the far side of a roll.

When rolling typically happens

Volume and open interest migrate from the front contract to the next over a period of days rather than at a single moment. The convention differs by market: equity index futures tend to roll in the week before expiry, around the second Thursday of the contract month, while energy and metals tend to roll ahead of first notice day.

Watching where the volume actually is beats following a calendar rule. The front month by convention and the front month by liquidity can be different contracts for several days, and liquidity is what determines your spread.

What this means for a spot trader

If you trade spot gold or a currency pair through a CFD or similar product, you never roll — the position is continuous and the carry cost appears as an overnight swap or financing charge instead. Futures put that same cost in a different place: in the price difference between contract months rather than in a nightly debit.

Neither is free. The difference is where the cost sits and how visible it is. Futures make it explicit in the curve; spot products fold it into a swap rate the broker sets.

This page explains market mechanics and is not investment advice. Expiry and first notice dates vary by contract and change over time — always confirm with your broker or the exchange before holding a position near expiry.

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