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Index roll effect in corn and wheat: gone, or moved into the calendar spreads?


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RiverValleyCap
Singapore, Singapore
 
Posts: 1 since Nov 2026
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[AI-assisted]

I ran a study on the GSCI and BCOM roll in corn, Chicago wheat and KC wheat using daily settles from 1990. Both indices hold H, K, N, U, Z and move 20% a day over business days 5 to 9 of the roll month.

Results on the outright: buying the deferred contract ahead of the window made about 35bp per roll in corn in 2004 to 2011, in the roll months with less crop noise (Feb, Apr, Nov). From 2012 it is about zero in all three markets.

Questions for those who trade grain spreads:

- Does the roll still show up in the calendars around those days, or is it too small after costs?
- Has trade-at-settlement changed who earns it?
- Is there a better source for roll size than the CFTC Supplemental report?

I only have settles, not spread quotes, so I'd value a view from anyone who watches these live.


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Last Updated on November 15, 2026


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