The NQ contract and its micro, the MNQ

The NQ is the E-mini future on the Nasdaq-100 index, listed on the CME. It is one of the most widely read markets in order flow: deep, fast, and fed by an order-by-order data feed (MBO) that DeepCharts exploits. The MNQ is its micro, ten times smaller, with the same quotation and the same logical order book.

The quarterly roll

Volume migrates from the current contract to the next one about a week before expiration. During this window, the two contracts trade at different prices (the basis), and the levels drawn on the old contract no longer line up exactly with the new one.