Rollover is the changing of the front month contract. The first thing you should be aware of when trading futures is how often the contract rolls. There are monthly and quarterly rolls. For example S&P 500 rolls quarterly and Crude rolls monthly. The exchange will have information on the the contract specification. For CME Group products you can go here.
For the S&P 500 the contract expires on the third Friday of March, June, September, and December. The roll happens on the open two Thursday before the contract expires. To clarify the roll date is 1 week and 1 day before expiration. Once again the roll is the day that the front month changes not when it expires. On CQG and eSignal the contract automatically rolls if you do not designate a month. CQG is EP and eSignal is ES #f.
The S&P 500 is cash settled and if you choose to have a position when the contract expires you will be given or owe the difference between your entry price and SOQ. SOQ is used to prevent arbitrage opportunities and force everyone to close their position. I only say this because it appears to me that the price of SOQ is random. Some contracts are settled by physical delivery. In this case the buyer brings money and seller brings the product of specified time, amount, place, and quality.
It is important to understand when rollovers are happening. The roll can change the mechanics of the market. The participants and volume changes. Some traders only trade the roll to take advantage of the difference in price between front and back months. Although roll traders do bring more volume, it is distributed across both contracts.
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