Note the volume histogram. It shows evenly distributed trading volumes during the whole period loaded to the chart. We also do not see that trades stop on the expiration day.
Thus, a continuous futures contract is a composite instrument. The same underlying asset (in our case – S&P 500 index) is in its basis, but the continuous futures chart is composed of the most liquid periods of individual contracts (in the example below: ESZ0 + ESH1 + ESM1).
In other words, a continuous futures contract is not an independent financial instrument. In fact, it is not a futures contract. It is more accurate to say that it is a way of displaying several futures trading data in one chart, when several chart parts are ‘pasted’ approximately on expiration days.
As a rule, these parts are ‘pasted’ not exactly on the expiration days but several days earlier. The trading platform compares various contract trading volumes and displays continuous data in the chart on that contract, which was traded with higher volumes. Thus, the chart shows data on the day’s most liquid contract.
It is not unlikely that gaps may appear at the places of ‘pasting’ – it is acceptable due to the fact that two different contracts are combined and they can have different prices. We only want to note that the more popular and liquid an instrument is, the smaller a gap would be.