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Date/Time: Fri, 26 Apr 2024 03:49:12 +0000

Post From: Futures contract rollover - volume based

[2021-08-04 00:06:46] Link To Thread - Link To Post [Go To First Post]
User155017 - Posts: 41
I m talking about active contracts indeed. Sometime the most traded contract can be far in the future. For example corn December is now the most traded, which does not mean earlier contracts are not actively traded, it just means have lower volume( while large volumes). How are continuous future contracts constructed in these cases where there is a jump, even if all the intermediate contracs are actively traded? Form the documentation it seems only the next month is used, so for example march would never be continued by december.