Some markets (WTI, NATGAS, BRENTOIL) 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 during this period, 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.
