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Date/Time: Fri, 29 Mar 2024 07:27:39 +0000



[User Discussion] - Question: Is it possible to chart continuous futures other than Front month?

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[2018-04-07 16:34:50]
ErikT - Posts: 117
Is there a feature in SC for charting and referencing "continuous" futures contracts other than front month?

Example: I want to chart the 6-6 month fly spread in CL futures, i.e. long 1 front month contract, short 2 contracts in the 6th month, and long 1 contract in the 12th month. The point is, all 3 open positions get rolled each month. On bloomberg, they have syntax CL6 referring to the 6th month after the current front month just for this purpose. So for example if the front is DEC and CL6 is JUN, when front rolls to JAN then CL6 rolls to JUL at the same time.

Obviously the front month is easy - a continuous futures chart provides that price series. But I can't figure out how to set up a price series in SC for the 6th and 12th months (meaning they roll when the front rolls to maintain constant relative position). Is there a way to set up such a series and reference it in a chart?

Note - for my purposes I would need the back-adjusted series for the 6th and 12th months. Seems like the existing continuous contract functionality serves the need perfectly, if there is a way to specify Nth month instead of always getting current 1st (front) month.

Thanks in advance,
Erik
Date Time Of Last Edit: 2018-04-07 16:42:38
[2020-01-27 23:09:43]
macrohedged - Posts: 6
+1
[2020-02-24 23:45:27]
User408013 - Posts: 9
interested in the answer as well

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