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Optuma continuous futures contract data - Spot vs VolSpot

As well as individual commodity futures contracts, Optuma maintains datafiles for two continuous contracts: Spot and VolSpot. These are preceded by the commodity code, eg CL for Oil, GC for Gold.

Spot vs VolSpot

The Spot file (eg CLSpot for oil) changes contract based on the specific contract rollover date, whereas the VolSpot version (eg CLVolSpot) changes contract based on volume. In the final few days of a contract, usually the next contract has more liquidity than the current one, so the VolSpot file will switch to the next contract before the contract expiry date.

In this example for rollover from oil's August 2018 contract rollover to September 2018, the volume for the September contract (CL18U) is higher than August 3 days before August expires:




As such, the continuous CLVolSpot chart will switch to September's contract 3 days earlier than the CLSpot chart. You can see the drop off in volume at the end of the contract periods on the Spot chart on the left, whereas the VolSpot volume is more consistent:


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