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Date/Time: Thu, 16 May 2024 07:51:23 +0000

Post From: Nymex CL rollover rule addition?

[2014-03-29 16:27:30] Link To Thread - Link To Post [Go To First Post]
User22396 - Posts: 191
How can the Nymex CL expiry rule be replicated as SC does not account for the second sentence in the following: "Trading in the current delivery month shall cease on the third business day prior to the twenty-fifth calendar day of the month preceding the delivery month. If the twenty-fifth calendar day of the month is a non-business day, trading shall cease on the third business day prior to the last business day preceding the twenty-fifth calendar day. " I was wanted to create a rollover rule to roll 3days prior to expiry....can a new rule be created to replicate the nymex expiry rules? thanks Date Time Of Last Edit: 2014-03-29 17:37:46