Contract roll and calendar

Futures expire. On the indices, expirations are quarterly (March, June, September, December), and volume migrates to the next expiration at the roll, about a week before expiry.

What changes at the roll

• The front month (the most traded contract) changes. Trading the old contract after the roll means trading phantom liquidity: enormous walls because nobody is left, stop runs that are not stop runs.
• Historical levels shift: the two contracts trade with a gap (the basis, linked to rates and dividends), so yesterday's POC on the old contract is not at the same price on the new one. Adjusted continuous charts smooth that gap out, the heatmap does not.