Financial futures trading volume data shows strong seasonality due to mechanic rollover activity, which contaminates the role of volume as a measure of information flow. This paper develops a method to construct the rollover trading volume based on the ratio of the trading volume of the nearest contract to the trading volume of the second nearest contract, which reflects the relative liquidity of these contracts. The constructed de-rollovered trading volume displays little seasonality due to contract rollover. The rollover trading volume explains a large proportion of the variation in trading volume controlling for the explanatory variables documented in the literature using data from nine major markets of stock, bond, and currency futures.