Contract rollover

Example

Say you hold 2 long MES contracts expiring in March, and a few days before expiration most of the volume has moved to the June contract. You sell the 2 March contracts and buy 2 June contracts, keeping the same size and direction. If June trades 40 points above March, your new entry price looks higher, but that gap is the price difference between the two months, not a loss.

Hypothetical numbers, for illustration only.