| 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% |
Commodities
Futures Rolling Mechanism
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.