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Future Calendar Roll Enhancement| Weekly Release 5/17/2024

Added support for percent (%) Open interest table

 

From “FT Open Interest” and “BK Open Interest” columns traders can <right-click> and access “Open TFF Data Table”. The data (TFF report) comes out weekly on Friday afternoons and is a snapshot of the prior Tuesday’s EOD positioning.  

Traders can access the report date for each data set.  RiskVal aligns the reports by counting backwards by 13 weeks. There are 13 weeks in each contract cycle.  The TFF Data table highlights the position data for a specific week in the current contract cycle and aligns that report data with the same reporting week in previous contract cycles, so that the position comparison across cycles is aligned.

  

Next to each Investor type “Dealer/Intermediary”, “Asset Mngr”, “Leveraged Funds”, and “Other” RiskVal highlights the Net positions.


Percentage of Open Interest represents the Net Position divided by Total Open Interest for each contract.  Total Open Interest will be the absolute sum of all net positions for each investor type. 


“Average of Last 4” column represents the averages of the Net Position and % of Open Interest Data for the previous four contract cycles. “Current vs. Avg” column compares the result in the “Average of Last 4” to the Current data.



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