VolSpot roll dates?

Optuma Tools
1

Hi, is it possible to view roll dates on a chart for VolSpot contracts? Thanks Nathan

2

Hi Nathan,

We create the VolSpot contracts by comparing the volume of the current and next contract, and whichever has the highest for that day will be used in the VolSpot. As such, the date varies for every contract and it’s not possible to mark it automatically on a chart.

3

Thanks Darren, this would be a very useful feature since it is ideal to know which contract the pricing applies to as there can de significant price differences between contracts.

4

Hi Nathan,

You could add the contracts in to a watchlist and sort by volume and the one that matches the VolSpot value is the most active contract, ie currently April for gold:

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5

Thanks for thinking about a possible work around Darren, much appreciated.

6

Hi Darren,

You mentioned that the VolSpot uses the contract with the highest volume.

I’ve seen instances in some commodities where the highest volume oscillates between the current and coming contract as contract expiry approaches.

Is there any filter, eg 3 days of higher volume before rolling the VolPSot to the coming contract, or does VolSpot just oscillate back and forth to the contract with the highest volume?

Cheers

Trevor

7

It uses the contract with the highest volume for that day.