Futures Rollover Rules

Kibot's Continuous futures series are built with a fixed, calendar-based rollover rule per product. The rollover date is computed from a published offset, expressed in trading days, against a known reference date (either the contract's own expiration, or the end of the month prior to expiration). There is no volume-crossover heuristic, no open-interest swap, and no back-adjustment of historical prices. Once a rule is set, the same date is used every cycle. The full per-contract table below is the same one Kibot's support team refers customers to, and is the authoritative source for reproducing or auditing every rollover in the continuous archive.

Why Fixed Calendar Rules

Two reasons. First, predictability: a calendar rule is reproducible from the public expiration schedule with no reliance on private volume or open-interest snapshots. A customer can rebuild Kibot's exact continuous series from the individual contract files plus this table. Second, consistency: the same rule applied across decades of history means the gluing logic does not silently change shape between 2002 and 2024. Volume-based and open-interest-based rollover heuristics drift as products mature, exchanges add overnight sessions, and algorithmic flow reshapes liquidity. A fixed offset does not.

The trade-off is that the rollover may occasionally fire a day or two before liquidity actually shifts to the back month, or a day or two after. For most products and most cycles, the offset is close enough that the practical difference is small. When the difference matters (long-horizon backtests, exact replay of a single rollover) customers can apply their own roll date on top of Kibot's individual contract files. See the Adjusted vs unadjusted data page for the broader rationale.

The Two Offset Conventions

Every rule in the table uses one of two phrasings.

"N trading days before contract expiration" means the roll fires N trading days before the contract's own expiration date. For ES (E-mini S&P 500), the offset is 5 trading days before the third-Friday expiration. For ESH26 (March 2026, expiring March 20, 2026), that places the roll on approximately March 13, 2026. Equity index, currency, energy, and most crypto futures use this form.

"N trading days from the end of the month prior to expiration" means the roll fires N trading days before the last business day of the calendar month preceding the delivery month. For grains and most metals, this typically places the roll well in advance of the contract's actual last-trading day, reflecting the long delivery notice periods on those products. For Gold (GC), the offset is 2 trading days from the end of the prior month: a June 2026 Gold contract (GCM26), with May 2026 ending on Friday May 29, rolls 2 trading days earlier, approximately Wednesday May 27.

The Futures expirations page lists the expiration rule per contract group and supplies pre-calculated expiration dates through 2030, so the two pages together let a customer compute every roll date without further reference material.

Per-Contract Rollover Rules

Every continuous-futures contract Kibot carries appears below, grouped by asset class. The "Offset" column is the published rule. The "Reference" column states which date the offset is measured against.

Equity Index

Equity Index Sector and Micro

Currencies

Energy

Metals

Grains and Oilseeds

Livestock

US Treasuries and Rates

Crypto

Worked Example: An ES Rollover

ES rolls 5 trading days before the contract's own expiration. The March 2026 contract (ESH26) expires on Friday, March 20, 2026 (third Friday of March, per the Futures expirations calendar). Counting back 5 trading days from March 20:

On Friday March 13, 2026 the continuous series stops using ESH26 and begins using ESM26 (June 2026). Bars dated March 13 forward are real ESM26 trades. Bars dated March 12 and earlier are real ESH26 trades. There is no scaling, blending, or back-adjustment applied across the seam, so a small price discontinuity at the rollover is expected, not a data error.

Auditing a Roll in a Downloaded File

To verify a specific roll in a continuous file:

1. Find the contract's expiration date from Futures expirations.
2. Look up the offset from this page.
3. Count back the offset in trading days. Use the Market holidays calendar to skip holiday closures.
4. The resulting date is the rollover date. Bars on and after that date come from the next contract month.

The two-month rolling chain (continuous file, plus individual contracts for the front and back month at the roll) is enough to reconstruct any adjustment method. Kibot's support team has confirmed in archived correspondence that customers who need ratio or constant back-adjustment on top of the unadjusted series can compute the adjustment factors directly from the individual contract files at the rollover dates listed here.

Key Takeaways

• Every continuous futures contract Kibot carries rolls on a fixed, published offset of trading days from a known reference date (either contract expiration or end of the prior calendar month).
• Equity index futures (ES, NQ, YM, RTY, EMD, NKD) all roll 5 trading days before expiration. Sector and E-micro index futures roll 1 trading day before expiration.
• Currencies are uniformly 2 trading days before expiration; CD is the exception at 3. The two E-mini currency contracts (ME, JE) use 4 trading days.
• Energy contracts (CL, BZ, NG, HO, RB) use trading-days-before-expiration offsets in the 1 to 3 range.
• Grains, metals, livestock, and most treasuries use the "end of prior month" reference, reflecting the longer delivery notice periods on those products.
• Kibot applies no back-adjustment. Customers who need a smooth series compute it themselves from the individual contract files; this page is the index that makes that reconstruction reproducible.

Related

• Continuous futures, How the rollover offsets feed Kibot's continuous series, plus the three back-adjustment methods customers commonly layer on top.
• Identifying the front month, Compute the active contract on any date and verify it against the continuous file price.
• Futures expirations, Per-group expiration rules and pre-computed expiration dates through 2030.
• Futures specifications, Per-contract trading months, tick sizes, and contract sizes.
• Futures symbols, Month codes and contract-naming conventions.
• Adjusted vs unadjusted data, Broader rationale for shipping unadjusted data and letting the customer pick the adjustment.
• Market holidays, Trading-day counts must skip holidays; this calendar is the reference.