Stats › Devises et matières premières › The index roll
The commodity index roll moves the calendar spread 44 basis points and gives it all back
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.
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