Common rollover date on CL?

Is there a common rollover date on CL, like n days before expiration, first notice...?

I'm trying to create accurate continuous contracts but I have problems to find a fixed rollover date. It seems like it depends of the contract month ...

Thanks for helping an oil newbie.

 

I'd highly recommend you read the NYMEX website for the specifications of the crude oil contract.

From the website:

"Trading terminates at the close of business on the third business day prior to the 25th calendar day of the month preceding the delivery month."

OldTrader

 

(1) Keep an eye on the open interest "crossover" from the front month into the next month. (2) Since the crude contracts have "large carry", be careful when using continuation charts because the price differential can create the appearance of a large one-day upmove when in fact there wasn't. Focus on an extended daily chart instead........if that helps.

 

Thanks.

I'm creating back-adjusted datas based on absolute difference at the time of the rollover.

I will retain 4 days before expiration as my rollover date, i think. Are there any other traders using an other fixed date?

 

So if there is a $1.50 difference between contracts on your rollover date, you shift all of your back data up $1.50?

Interesting idea, but of course it goes without saying that it puts $1.50 inaccuracy into your back data, since no trades were actually made $1.50 higher.

Personally I don't use continuation charts. I use a chart of the specific trading month only.

OldTrader

 

That's what you do when you need to backtests some strategies. You have to create back-adjusted datas so you aren't taking the difference between contracts into account in your system results...

Problem is that sometimes you get negative values or things like that but it's not a big one ...

 

www.pinnacledata.com rolls on the 11th calendar day of the month prior to delivery month, and many position traders use Pinnacle's EOD data and Pinnacle's rollover schedule.

So for example Pinnacle will roll out of December crude and into the new front month, on November 11th. If November 11th is a market holiday, on the first market day thereafter.

Some traders don't trade all twelve contract months of crude oil futures; they roll over less often. One popular choice is to trade Dec crude only; such people only roll over once a year. Another popular choice is to roll over four times per year, trading the HMUZ contracts, just like currencies and bonds. And some, like me, trade the even numbered months: GJMQVZ, rolling over 6 times a year. Different strokes for different folks.

 

Thanks, valuable information.

It must be difficult to trade the december contract only with this kind of liquidity.