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Future Calendar Roll Enhancement| Weekly Release 2/2/2024

Added support for “% Rolled”

 

For traders interested in analyzing the roll in the days leading into the first notice day, RiskVal added “%Rolled” column.

This column is using back contract’s open interest value and dividing that number by the total open interest (Sum of Front & Back Open Interest columns).

% Roll” gives insight into whether the current roll is behind or ahead when compared to previous roll cycles.


Note: In the upcoming weeks RiskVal will create a special tool that surfaces a seasonality graph that looks at the roll % for each day leading into the first notice day and compares that to historical rolls.


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