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Statistik › Währungen und Rohstoffe › The index roll

The commodity index roll moves the calendar spread 44 basis points and gives it all back

Days 5 and 6 before expiry: 11 bp+11 bpDays 5 and 6before expiryCumulative maximum: 44 bp+44 bpKumuliertmaximumAt expiration: 0 bp0 bpAt expiration

Return differential between the second and nearest crude oil contracts around the S&P GSCI roll window, which runs the fifth through ninth trading day of each month. Over the last five days before expiration the nearest contract outperforms the second by 44 basis points, taking the cumulative differential back to zero. The impact is entirely temporary.

The S&P GSCI rolls on the same five days every month and the whole market knows it. The second-minus-nearest contract spread widens by up to 44 basis points into expiration and returns to zero by the time it arrives.

44 bpCumulative widening of the calendar spread into expiration
11 bpWidening over the fifth and sixth days before expiration alone
NullWhere the cumulative differential sits at expiration
-4.40%/yrUSO roll cost, measured at 37 basis points per roll, t = -2.65

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