Equity Index Futures roll to December (Z)

The quarterly roll is here. Equity index futures traders should switch to the December (Z) contracts now to trade where the liquidity is. September contracts expire Friday, September 19, 2025. CME Group

Market update summary

• Expiration: The Sep-2025 equity index futures (e.g., ESU25) have their last trade and final settlement on Sep 19, 2025. After the roll, the December (Z) contracts become the lead month.
• Why December (Z): Standard month codes are fixed (H=Mar, M=Jun, U=Sep, Z=Dec). As soon as Z overtakes U in volume, traders shift to Z for tighter spreads and deeper books.
• Practical takeaway: Staying in expiring September contracts typically means thinner books, wider spreads, slower execution, and suboptimal fills as activity concentrates in Z. For reference, check CME product calendars/quotes below.

Contract symbols & quick links (December 2025 cycle)

• S&P 500 E-mini — ESZ5: CME ES Calendar • ES Quotes
• Nasdaq-100 E-mini — NQZ5: CME NQ Calendar • NQ Product Page
• Dow ($5) E-mini — YMZ5: CME YM Calendar • YM Product Page
• Russell 2000 E-mini — RTYZ5: CME RTY Quotes (select DEC 2025)

Month-code cheat sheet (for quick checks): H=Mar, M=Jun, U=Sep, Z=Dec.

Why switch now?

• Liquidity concentration: Convention is to shift to the new lead month once the next contract’s volume leads; that typically occurs during rollover week ahead of expiry.
• Cleaner execution: You’ll generally find tighter bid/ask and a deeper DOM in Z contracts vs. the drying September book. Use CME quotes pages above to confirm live depth/volume before the open.

What to do

1. Roll/replace symbols to the Z contracts in your platform/watchlist: ESZ5, NQZ5, YMZ5, RTYZ5. (If you need a refresher on futures structure, here’s our primer: What is prop trading?)
2. Check DOM/volume on Z before the session to verify depth (CME quotes pages linked above).
3. Flatten or spread legacy Sep positions per your plan; calendar spreads can transfer exposure seamlessly.
4. Brush up on risk rules while you roll: our guide on Intraday vs End-of-Day Drawdown helps you size appropriately during rollover.

My Take: Rolling early is a small, compounding edge. Once Z is the lead month, I stop babysitting a drying book and re-check bracket sizes against deeper liquidity. If you’re still on September, flip your symbols now, confirm depth on the CME pages, and keep it moving.