Futures Contract Price Rolling Mechanism

Some markets (WTI, NATGAS, BRENTOIL, XCU, and WHEAT) use futures contracts as their underlying prices. To handle contract expirations, prices are gradually transitioned from the current month’s contract to the next month’s contract between the 5th and 10th business day.

Each day at 5:30 PM ET for WTI and NATGAS and at 7:00 PM ET for BRENTOIL, 20% of the price shifts from the current month to the next month. This means the price moves progressively, starting at 100% current month and ending at 100% next month over the five-day window.

Note: the underlying markets for WTI and NATGAS are closed between 5:00 PM ET and 6:00 PM ET, while for BRENTOIL they are closed between 6:00 PM ET and 8:00 PM ET (11PM London time - 1AM London time).

Example Roll Schedule (August, 2026)

Date	Time	Front-Month	Next-Month
2026-08-07	5:30 PM ET	80%	20%
2026-08-10	5:30 PM ET	60%	40%
2026-08-11	5:30 PM ET	40%	60%
2026-08-12	5:30 PM ET	20%	80%
2026-08-13	5:30 PM ET	0%	100%

Roll Schedules (WTI, NATGAS, WHEAT, COPPER)

Roll Date	2026-07-08 5:30PM to 2026-07-14 5:30PM ET	2026-08-07 5:30PM to 2026-08-13 5:30PM ET	2026-09-08 5:30PM to 2026-09-14 5:30PM ET	2026-10-07 5:30PM to 2026-10-13 5:30PM ET	2026-11-06 5:30PM to 2026-11-12 5:30PM ET	2026-12-07 5:30PM to 2026-12-11 5:30PM ET
WTI	Q6 to U6	U6 to V6	V6 to X6	X6 to Z6	Z6 to F7	F7 to G7
NATGAS	Q26 to U26	U26 to V26	V26 to X26	X26 to Z26	Z26 to F27	F27 to G27
WHEAT	U26	U26 to Z26	Z26	Z26	Z26 to H27	H27
COPPER	U6	U6 to Z6	Z6	Z6	Z6 to H7	H7

Roll Schedules (BRENTOIL)

Roll Date	2026-07-08 7:00PM to 2026-07-14 7:00PM ET	2026-08-07 7:00PM to 2026-08-13 7:00PM ET	2026-09-08 7:00PM to 2026-09-14 7:00PM ET	2026-10-07 7:00PM to 2026-10-13 7:00PM ET	2026-11-06 7:00PM to 2026-11-12 7:00PM ET	2026-12-07 7:00PM to 2026-12-11 7:00PM ET
BRENTOIL	U6 to V6	V6 to X6	X6 to Z6	Z6 to F7	F7 to G7	G7 to H7