Magnelibra Settlement Sheet- please note we rolled the ES, NQ, YM and QR from their March contracts to their June contract. We used the following Roll differentials from March minus June to adjust pricing appropriately. We feel many databases do not clean data like this, but its the most accurate way to track pricing. For those keeping track here are the roll differentials. This will change our chart pivots and we will update the technical charts tonight:
ESH-ESM = -52.25, NQH-NQM = -207.50, YMH-YMM = -340, QRH-QRM = -17. For those that don’t understand the rolls in futures basically its taking the March contract and subtracting the June contract to adjust pricing. So for instance the ESH settled last Friday at 5640.00 and yesterday the June settled at 5732.25 +40.00.
If we simply used 5732.25 as the settle and didn’t adjust the net change then it would show a daily net change of 5732.25 - 5640.00 which is +92.25. So we use the roll of -52.25 to correct that daily net change to reflec…
