Some commodities markets derive their pricing from futures contracts during market hours. Because futures contracts expire, the index price handles “rolling” the pricing to the next month’s contract via a 5 day roll between the 5th and 10th business day of the month. During the roll period, 20% of the weight is shifted back from the current month to the next month at 5:30 ET every business day until the current month is at 0% weight. Note that this happens during after hours, as markets are closed between 5 and 6 ET. Currently this only applies to the WTIOIL market.Documentation Index
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| Business Day | Front Month Weight | Next Month Weight |
|---|---|---|
| 5 | 100% | 0% |
| 6 | 80% | 20% |
| 7 | 60% | 40% |
| 8 | 40% | 60% |
| 9 | 20% | 80% |
| 10 | 0% | 100% |