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According to the firm, the six- and 12-month forward versions of the S&P GSCI measure the S&P GSCI Spot, Excess Return, and Total Return indices based on the first nearby contract expiration included in the index moved six- and 12-months forward from the present date.
The fact that the first nearby contract has the highest liquidity since it is close to maturity and the fifth contract does not have much activity since it has less volume and less open interest, being far from maturity were ignored.
2001) we find a sizeable jump (as compared to a gradual change) in volume from the nearby to the next-out contract on the redesignation date, while volatility in the nearby contract also rises the moment it loses its lead status.
NotionalFront is the total of the daily notional values of the nearby contract in a month (in C$ Billion).
Unique to the futures market, roll yield is the difference in the price of futures contracts as the nearby contract approaches expiry and the position must be rolled to the next contract.
But this failed to dampen price increases for West Texas Intermediate, the New York Mercantile Exchange's benchmark nearby contract.
Thus, expiration 1 is the nearby contract and is the single stock futures contract closest to expiry.
or probably put-option spreads where you buy the nearby contract and sell the deep out of the money contracts to finance it.
The InterCommodity Exchange's benchmark Brent nearby contract closed the week at $53.
8) a barrel mark for most of the week, the DME Oman benchmark crude futures nearby contract gained a solid $4.
The New York natural gas nearby contract closed out the week slightly lower, at $5.
Locally, the DME Oman benchmark crude nearby contract closed for the week.