What It Means
Rollover Percentage is the share of a contract's open interest that has already moved from the expiring near-month contract into the next-month contract, shown as a percentage of the total open interest just before expiry.
How It Works
Exchanges and data providers track how much of a near-month contract's outstanding open interest gets carried into the next expiry versus simply closed out or settled. That share, expressed as a percentage, is the rollover percentage.
Rollover Percentage = (Open Interest Rolled to Next Month / Total Open Interest Before Expiry) × 100
- Open Interest Rolled to Next Month
- The portion of near-month OI carried forward into the next expiry's contract
- Total Open Interest Before Expiry
- The full near-month OI just before expiry, before any rollover or exit
A high reading means most traders chose to carry their positions forward instead of exiting at expiry. A low reading means most positions closed out instead.
Example
If a stock's near-month futures had 10,00,000 shares worth of open interest just before expiry, and 7,00,000 shares worth of that moved into the next-month contract, the rollover percentage is 70%, a clear majority of positions continuing rather than exiting.
Warning
A high rollover percentage shows how many traders carried their position forward, not which direction the price will move next. Reading it as a directional guarantee is a common mistake.
Related Terms
- Rollover: the action this percentage measures
- Open Interest (OI): the underlying data rollover percentage is calculated from
- Put Call Ratio (PCR): another OI-derived sentiment metric, best read as one data point rather than a forecast