Nth Nearest Futures Charts
Previous  Top  Next

A "nearest future" chart shows a single, continuous series built from whichever contract is or was in a specified sequence from delivery. Unfair Advantage's nearest futures charts are called "Nth Nearest" because you get to choose how far out the series will monitor the market. You select the value of "N," which determines whether the contracts in your chart will be the first nearest, second nearest, third nearest, etc.

To create an Nth Nearest chart, begin by selecting the futures market or markets and making other common charting selections as described in the "Futures Charts" topic.

From the center region of the Selecting Data Series screen, click the "Nth Nearest" tab, which is third from the left (see below). Our example shows a selection screen for CBT Corn, CSI #9, symbol C.


Contract Months To Include

If you have entered only one symbol, your first customizable setting is the Contract Months To Include:


The selections represent the list of delivery months that UA will cycle through in creating your Nearest Future chart. The typical selection is to leave this entry as it is, without changing it.

The default selections (those initially marked with an X) are the delivery months UA's Market Specs Factsheets identify as "normal" trading months. These are the active contracts that are normally traded over the course of the year. They are the ones listed as "V" (for valid) in the Active Months field of the Market Specs. Other months may be available. For example, the Market Specs may list some months as "S" (for switching month). If you want to add other months besides the active ones or delete selected months, click the box over the month. Click [All] at right if you want every possible contract to be available.

When multiple symbols have been entered, all normal, active contracts will be selected automatically, and you will not have the choice of identifying alternative months.

Selecting Nearest-Future Settings

The "Nth Nearest" screen shows the settings you may customize for your Nth Nearest Future charts:


You'll need to select the appropriate response for each of the following:

Roll Trigger

This input determines when your charts switch from one contract to the next in this continuous series. You may choose between using volume and/or open interest or a specific date as explained below. Additional rolling criteria will be set by the "Roll Timing" option, below.

·Open Interest - Click here to exclude the nearest contract when heaviest open interest shifts to the subsequent delivery month.  

·Volume - Click here to exclude the nearest contract when heaviest volume shifts to the subsequent delivery month.  

·Open Interest and Volume - Click here to exclude the nearest contract when BOTH heaviest open interest AND heaviest volume have both shifted to the subsequent delivery month.  

·Open Interest or Volume - Click here to exclude the nearest contract when EITHER heaviest open interest OR heaviest volume shifts to the subsequent delivery month.  

·Date - This setting lets your computed contract roll from one contract to the next on a specific day of the month. Click here and type the day of the month you wish rollforward to occur. Enter the roll-forward date (1 to 31) within the rollover month. Use 31 to roll on the last trading day. This prompt coordinates with another prompt (at right).  

Start/End of Month - The default rolling criterion is for the day of the month (above) to be calibrated to the beginning of the month. An alternate rolling option is to select "End of Month" here. When "End of Month" is selected, enter the number of calendar days before the month is over that you want to roll out of a contract (1 to 28). Think of this as an inverted calendar. Enter 1 for the last day of the month, 2 for the next-to-last day, etc. This option is useful for traders who want to avoid risking delivery of a commodity by rolling out of a contract on the first notice day, which is often calibrated relative to the end of the month.  

Months Prior - In the box to the left of this prompt, enter the number of months prior to the contract's expiration month when rolling should occur. Enter 0 for rolling within the expiration month, 1 for one month prior, etc.  

·Strictly by Days Before Expiration Date - Click here to keep the lead contract in your nearest future series until a specific date before expiration of that contract. To calibrate an early roll date relative to the expiration date, enter the number of days before expiration for the rollover to occur. Enter 0 to roll on the expiration date. The "expiration date" used here is based on the typical expiration date for the specific commodity, and may not be accurate at all times.  

Roll Timing

This refers to when the near contract is dropped and replaced by the next in your Nearest Futures contract. The choices are:

·Anticipate - With this choice, the last close of the expiring contract is included on the day before your specified rollforward date. The first opening price of the new lead contract appears in the series on the specified rollforward date.  

·Aligned with Price Data - With this choice, the last close of the expiring contract is posted on the day of the specified rollforward. The first open of the new contract is posted the day after the specified rollforward date.  

·When Known - With this choice, the final close of the expiring contract appears the day after the specified rollforward date and the first open of the new contract appears two days after the specified rollforward.  

How Many Contracts Out

When creating an Nth Nearest Futures Contract, this entry determines the value of N. For example, to create a first-nearest future contract (that is always showing the contract closest to delivery (within your rollover constraints) select 1. To always view the second-nearest contract, select 2, and so on.

The default value is 2, but you may change it as desired, not exceeding nine contracts forward. The value you select must not represent more than the maximum number of contracts trading at any given time for the commodity being studied.

Common Settings

Detrending is not recommended for IFG contracts. Be sure to adjust the date range and post processing settings (if desired) as described in the "Futures Charts" topic before finishing your selection.

Click [OK] to display your chart(s).

See the
Chart Interpretation & Manipulation chapter for information on managing your chart. Consider using the "Save to Portfolio" feature to save your charts for future use.