I have the following bars around an open interest roll date (all bars stated date, contract, settle, previous day open interest) for CME corn futures.


Note that the most liquid contract flips from the N to the Z on 6/12.

Question - how exactly would I build a backwards ratio adjusted continuous contract on these bars?

What have I tried

I'd have thought the following:

1) The "signal" to switch from one contract to the other happens on 6/12, meaning the first date I can be on the new contract would be 6/13.

2) I would adjust the 6/12 and 6/11 bars by the ratio of settlement prices on 6/12 (398.26/377.5=1.054967). The 6/12 settlement would now be stated at the back contract value while 6/11 would be truly ratio adjusted.


However, I purchased the Stevens continuous roll series, which differed in 2 spots:

1) The ratio used for the 6/11 and 6/12 bars seemed different, and

2) They reported the front contract "previous_day_open_interest" on the 6/13 bar, even though there had already been enough time to move to the new contract on 6/13.


1 Answer 1


If the previous_day_open_interest is interpreted to mean "the OI yesterday in the contract that we were trading yesterday" then Stevens choice of 527519 for 2018-06-13 makes sense. In your interpretation you are reporting the OI yesterday for a contract which was not chosen yesterday (i.e. not the one we were trading) and this a different interpretation, which I find less convincing.

The "July to December Multiplier", which when applied to [2018-06-13 price of] 376 yields 397 is 1.055851. When this multiplier is applied to the July price of 2018-06-12 namely 377.5 we get 398.5837766 which perfectly agrees with the Stevens figure. So again I agree with Stevens. The multiplier is computed on the day the new contract comes in, namely the 13th, and applied on the days before this.

  • $\begingroup$ I think I get it. So Stevens assumes that I hold the N contract for the trading day of 6/13 (assumed because the open/high/low are adjusted in the Stevens 6/13 bar, but not settle), only rolling at settlement on the 6/13. Question: if I have the signal to switch contracts from the 6/12 bar, why do I assume I wait a whole trading day to rebalance? If the open interest roll rule is supposed to mirror an equivalent trading rule, wouldn't I roll at the beginning of 6/13 trading (e.g. at something closer to the 6/12 settle or 6/13 open prices)? $\endgroup$
    – MikeRand
    Jun 24, 2018 at 19:39
  • 1
    $\begingroup$ I think it is just traditional to roll at the close, in this case at the close of 6/13: you sell N at 376 and buy Z at 397. There is no strong justification for this other than the close is a busy time and there should be plenty of liquidity to do the switch. And, also, tradition (I have never seen rolling at the open). $\endgroup$
    – Alex C
    Jun 24, 2018 at 20:08

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