Futures Expiry, Settlement and Roll: Holding a Contract Into Its Last Week

Settlement is a price; expiry is a deadline

The two words appear in the same sentence so often that they get treated as synonyms. They are not. Settlement is a price. The CFTC glossary defines the settlement price as “the daily price at which the clearing organization clears all trades and settles all accounts between clearing members of each contract month,” and notes that settlement prices set both margin calls and the invoice prices used for deliveries.

Expiry is a date, or more precisely a moment inside a date, after which the contract stops being tradeable and its remaining obligation has to be performed. What that obligation is depends entirely on the contract. That is the whole difference between WTI and Brent, and almost every practical trap around oil futures follows.

What ICE publishes for Brent

ICE’s specification page is explicit about how the Brent contract ends, and the details are worth reading closely because they contradict a common summary.

The expiration rule has a consequence worth spelling out: the March contract stops trading on the last business day of January. The contract month names the delivery period, not the trading period. Assume “March” means you can trade it in March and you will be holding something that expired in January.

What settlement means on an ordinary day

Most of the time the word does its quieter job. Every trading day the clearing house produces a settlement price for each contract month, marks every open position to it, and collects or pays variation margin against it. The same number becomes the invoice price if a delivery follows from that position.

The CFTC glossary separates this from a one-off price. The final settlement price is “the price at which a cash-settled futures contract is settled at maturity, pursuant to a procedure specified by the exchange.” A contract has many settlement prices and exactly one final settlement price. Confusing the two produces the belief that a futures price is “set” by an index every day, when on a normal day trading in the contract sets it.

WTI: delivery through Cushing, and the last trading day

The WTI contract runs the other way. EIA’s futures table is titled “Crude Oil (Light-Sweet, Cushing, Oklahoma),” which names the pricing and delivery location the contract references. The CFTC glossary defines physical delivery as the alternative to cash settlement, and defines first notice day as “the first day on which notices of intent to deliver actual commodities against futures market positions can be received.”

Three dates matter, in this order. The last trading day comes first: the rule most widely reproduced for the NYMEX contract is that trading stops four business days before the 26th calendar day of the month preceding delivery, so a May contract stops trading in late April. First notice day opens the delivery window. Delivery follows, at a Cushing pipeline or storage facility, against an invoice priced from the settlement price.

Convergence is what keeps the futures price honest. The CFTC glossary calls it “the tendency for prices of physicals and futures to approach one another, usually during the delivery month.” The delivery option enforces it: if the futures price drifts from what a barrel is worth at Cushing, someone able to deliver or receive has an incentive to act.

Worked example: what a roll actually costs

EIA’s daily series for the first four WTI contracts lets you price a roll from published numbers. The series ends on 2024-04-05, which is the last date the page carries and the date used here.

On 2024-04-05 the four contracts settled at:

A long holder who rolls sells the first contract and buys the second. The arithmetic is one subtraction:

• Sell at 86.91, buy at 86.10, capture 86.91 − 86.10 = 0.81 per barrel.
• As a fraction of the price paid: 0.81 ÷ 86.91 = 0.93%.

That is a backwardated curve, and the roll paid the holder rather than costing them. Now take the extreme case in the same series. On 2020-04-20 the first contract settled at −37.63 and the second at 20.43. A holder rolling that day sold at −37.63 and bought at 20.43:

• 20.43 − (−37.63) = 58.06 per barrel paid to remain long.
• The next day the series printed 10.01 in the first slot, because the nearest contract had become the following month.

Nothing in that 58.06 is a commission. It is the price gap between two delivery months, and it landed on anyone who had to stay long and could not take the barrel.

Where the naive reading goes wrong

“Cash-settled WTI.” WTI is not settled against an external index. The expiring contract’s final price is trading-derived, and the obligation that follows is delivery. The cash-settlement index belongs to Brent, and even there it is an option alongside EFP delivery.

“Expiry means the end of the delivery month.” For Brent it is the opposite: trading stops on the last business day of the second month before the named month. For WTI, trading stops in the month before delivery. In both cases the name on the contract is later than the last day you can trade it.

“The settlement price is a forecast.” A daily settlement price is a clearing price for one contract month, computed under an exchange procedure, used to move margin. It says nothing about where spot crude will trade at expiry.

“Spot and futures must be the same number.” EIA assessed WTI spot at Cushing at 107.89 and Brent spot in Europe at 115.22 on 2026-10-20, a gap of 7.33 a barrel. Two locations, two qualities, two markets. The series is republished daily and moves; the observation is dated, not a level.

What the primary sources do and do not say

ICE states the Brent expiry rule, the two-minute settlement window and the cash-settlement option in the contract’s own specification, so those are not inferences. The CFTC glossary supplies the vocabulary and the clearing mechanics, but it is a glossary: it defines settlement price, final settlement price, first notice day and convergence in general terms and attaches no numbers to any commodity.

EIA supplies the prices and stops there. Its NYMEX futures table notes that futures prices after 2024-04-05 are not available, which is why every curve figure above is dated 2024 or earlier. Its spot table carries a release date of 2026-10-21 for the 2026-10-20 observations.

What none of these gave me is the WTI contract’s own rulebook. The Cushing delivery point and the last-trading-day rule come from Wikipedia’s contract summary, so check both against the rulebook before trading on them, along with the delivery facility requirements.

Checklist before you hold a contract into its last week

• Find the last trading day, not the contract month. For Brent it is the last business day of the second month before delivery; for WTI it is earlier than the delivery month. Put the date in the calendar when you open the position.
• Decide whether you can perform. If you cannot receive or deliver the physical barrel, your exit is a closing trade or a roll, and it has to happen before trading stops.
• Price the roll before you place it. The cost is the gap between the two months, not a commission line. A backwardated curve pays a long holder to roll; a contango curve charges them.
• Watch margin into expiry. Settlement prices drive margin calls, and brokers commonly raise requirements on expiring positions for exactly that reason.
• Do not read a dated price as a level. EIA’s spot and futures tables are snapshots with release dates, and every number in them moves.

How these sources were checked

ICE’s Brent specification (https://www.ice.com/products/219/Brent-Crude-Futures/specifications, read 2026-10-23) supplies the contract size, expiration rule, daily settlement window, and the EFP and cash-settlement terms. The CFTC glossary at https://www.cftc.gov/ConsumerProtection/EducationCenter/CFTCGlossary/index.htm (read 2026-10-23) supplies the definitions of settlement price, final settlement price, cash settlement, first notice day and convergence. EIA’s NYMEX futures table at https://www.eia.gov/dnav/pet/pet_pri_fut_s1_d.htm (read 2026-10-23) supplies the contract 1 to 4 settlements for 2024-04-05 and 2020-04-20 and states that the series ends there. EIA’s daily spot table at https://www.eia.gov/dnav/pet/pet_pri_spt_s1_d.htm (read 2026-10-23) supplies the 2026-10-20 WTI and Brent assessments. Wikipedia’s West Texas Intermediate article at https://en.wikipedia.org/wiki/West_Texas_Intermediate (read 2026-10-23) is used only for the Cushing delivery point and the contract’s last-trading-day rule, neither of which was verified against the exchange rulebook in this session.