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The S&P follows a simple roll date algorithm. The new
contract begins 2 Thursdays (8 days) before the 3rd Friday
of the month. Rollover occurs in March, June, September,
December.
Thus, the 9U contract will become front month on Thursday,
June 10th.
If someone can post a simple Bond algorithm, I would
appreciate it also.
Patrick White
-----Original Message-----
From: Loren Davis <lorjay@xxxxxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Date: Friday, May 21, 1999 6:05 PM
Subject: Roll over date
Does anyone know when the S&P and Bonds roll to the current
contract?
Thank you
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