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Date/Time: Sun, 05 May 2024 17:24:37 +0000

Post From: Very Impressive!: New Continuous Futures Contract Feature

[2013-12-25 23:50:27] Link To Thread - Link To Post [Go To First Post]
Zosimus - Posts: 345
The reason I use 9 days instead of 8 for the Index eMinis is: To the best of my knowledge (please correct me if I am wrong about this) If you look at the IQ back adjusted continuous contract of the ES you will see that the High of November 29th is 1806.25. If you use the 8 calendar days option you will get 1806.00for this high which is one tick lower. Using 9 Calendar Days will give you the correct 1806.25 and I also checked it against some other major swings on previous contracts. I think that the reason is that while the RollOver happens on the beginning of the Day session of the second Thursday of the month (8 days before the third friday), the gap is actually calculated according to the close or settlement at the end of the Wednesday day session.