Can I set a continuation chart based on expiration?
Modified on 2017/02/13 15:21 by Rob Rrickson (CTS) — Categorized as: Uncategorized
The “Active” option is what plots the contracts as continuations. The default mode for Active is to plot the month with the highest total traded volume for any specific day. This works well for most contracts, but does not work well for some (Eurodollar for example):
Because many Eurdollar months are traded at the same time, a volume based continuation does not work well.
To override the default and manually specify how the continuation should be built, open the chart properties window and scroll down to the continuation settings…
As you can see, I changed the continuation type to “Expiration”, excluded some months, and changed the Rollover Days to 15. Here is how the chart looks now:
This is much more understandable. Expiration continuation charts work as follows:
The market that is plotted for any given day is the one closest to it’s expiration. Once the market expires, the new market closest to it’s expiration is plotted. This “rollover” of markets is adjusted by changing the Rollover Days option. A value of 15 Rollover Days says to start plotting the next market 15 days before the current one expires.
The forwards months option shifts the plotted market from the one closest to it’s expiration to the one second closest to it’s expiration, third closest, etc. For example, if I were to set forward months to 1 in the above example, instead of the March contract being plotted when it is closest to it’s expiration, June would be plotted instead.