CME Group Introduces the Quarterly Pace of Roll Analyzer

• ChicagoSean
• March 9th, 2011

Our friends and sponsor @CMEGroup have recently developed useful tools for Traders, Hedgers, and Portfolio Managers to more effectively manage the quarterly roll endemic of index futures contracts.

Index futures expire quarterly, and those who wish to maintain their position or hedges must roll their position out to the next quarterly expiration.

The Pace of Roll Analyzer offers enhanced analytical tools designed to offer market participants:

• a way to monitor the pace of the quarterly roll (or the migration of open interest from the front month to the back month) in CME Group’s equity index contracts;
• to view calculations of how “rich” or “cheap” the calendar spreads are trading;
• to customize key variables using these calculations (such as dividend assumption and libor rates) in order to compute data based on your own assumptions; and
• to access intraday pricing charts illustrating hourly volume vs VWAP, and a summary of volume by price.

These resources are intended to help market participants analyze their roll strategies and make adjustments for optimal efficiency.

For a video demonstration of how to use these tools, head to http://stk.ly/f3z2ID

And in other CME Group-related news, we’ve recently added a Nikkei 225 Futures stream to StockTwits. The symbol for this product is $NK_F.

The information in this blog post represents my own opinions and does not contain a recommendation for any particular security or investment. I or my affiliates may hold positions or other interests in securities mentioned in the Blog, please see my Disclaimer page for my full disclaimer.

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