|
PureBytes Links
Trading Reference Links
|
I think it depends on the contract you are looking at. I have seen some
contracts where your solution would not be possible because the incoming
contract only gains higher volume & OI on the last two days before expiry of
the spot contract.
Also worth looking at is the volatility of the expiring contract - sometimes
the expiring contract shows increased volatility in its last days that
doesn't appear in the new contract - I'd want to be in the new contract if
the expiring one is leaping around a lot.
I think it's easiest to judge on high volume contracts.
What futures are you looking at?
Adam
-----Original Message-----
From: VBatla@xxxxxxx <VBatla@xxxxxxx>
To: adam_hardy3@xxxxxxxxxx <adam_hardy3@xxxxxxxxxx>
Date: Saturday, August 28, 1999 4:23 PM
Subject: Re: Correct data format?
>No, this is not Easy Language. That means that the contract will roll to
the
>next contract which has the highest volume & Open interest after 3 days.
>(It's in the CSI software)
>
>vince
>
>
>In a message dated 8/28/99 6:04:53 AM Central Daylight Time,
>adam_hardy3@xxxxxxxxxx writes:
>
><< vince,
> what do you mean by Reported (Std + 2 days)?
>
> (that's not EL is it?)
>
> adam >>
>
|