Quarterly Expiry
Quarterly expiry is the schedule by which major futures contracts expire four times per year: in March, June, September, and December. Each expiry date is associated with a specific contract month code used in ticker symbols.
Quarterly expiry refers to the four annual expiration dates for major CME futures contracts including ES, NQ, MES, and MNQ. Contracts expire on the third Friday of the expiry month at the market open.
The quarterly cycle
| Month | Code | Contract example |
|---|---|---|
| March | H | ESH25 (ES March 2025) |
| June | M | ESM25 (ES June 2025) |
| September | U | ESU25 (ES September 2025) |
| December | Z | ESZ25 (ES December 2025) |
The letter codes (H, M, U, Z) are a decades-old CME convention. The number after is the year.
Expiry mechanics for ES and NQ
ES and NQ use cash settlement: no physical delivery occurs. On expiry, the contract settles to the Special Opening Quotation (SOQ) of the S&P 500 or Nasdaq-100 index, calculated on expiry Friday morning using the opening prices of each component stock.
This means the last effective trading day for most participants is Thursday before expiry, as Friday morning’s SOQ can be unpredictable.
Triple and Quadruple Witching
Quarterly expiries coincide with the expiration of stock index options, single-stock options, and stock index futures: a phenomenon known as “quadruple witching.” These days typically see elevated volume and volatility in the final hour before the close as participants unwind large hedges.
Understanding quarterly expiry helps traders:
- Know when to roll to the new contract month
- Anticipate elevated volatility near expiry dates
- Correctly interpret ticker symbols when looking up contract specs