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Date/Time: Thu, 25 Apr 2024 07:40:11 +0000

Post From: Futures contract rollover - volume based

[2021-07-26 20:39:58] Link To Thread - Link To Post [Go To First Post]
User155017 - Posts: 41
Hi, some futures like corn or soy can skip some months when volume or open interest rule are used for roll over. For example for corn now December is the front month according to volume roll, not September. Is the continuous future constructed accordingly, or it always roll to the next calendar month, even it is not the most traded? From the documentation I got the impression it can just roll to the next calendar months, and the same algorithm is applied backward to construct the continuous contract. This is quite important, since the price series can change completely Thanks