RollSpread Function

Function

Syntax

Function Details

ROLLSPREAD

RollSpread(<expr>)

Examples:

RollSpread(Roll(CL,H)-Roll(CL,U)) = March Rolling Calendar Spread

RollSpread(Roll(CL,U)-Roll(CL,H,1)) = September Rolling Calendar Spread

RollSpread(CONT('BRN-ICE')-CONT(CL)) = Brent-WTI Continuation Spread (With Months Align based on Brent Expiration)

RollSpread(ROLL('BRN-ICE',F)-ROLL(CL,F)) = Brent-WTI January Spread (Rolls once a year based on Brent Expiration)

RollSpread(-CONT(CL)+14*CONT(HO)+28*CONT(XRB)) = 3X2X1 Crack Spread Continuation (Note CL listed first to control rolling of HO and XRB)

RollSpread(-Roll(CL,F) + 28 * Roll(XRB,F) + 14 * Roll(HO,F)) = 3X2X1 January Crack Spread Continuation (Rolls once a year based on WTI Expiration)

*NOTE: First Leg in the RollSpread Function will control roll timing