Market News
Apr. 28, 2023 OSE Change in Roll Period for CME Group Petroleum Index
Osaka Exchange, Inc. (OSE) is pleased to announce that CME Group released the change in the roll period for CME Group Petroleum Index, which CME Group Petroleum Index Futures on OSE tracks. The change is to be effective on June 5, 2023, and the roll period for the index will be set as shown in the table below.
＜Before the Change＞
| Roll Period Weights | The 1st contract month | The 2nd contract month |
| ED (Expiry Day of each component futures contract) - 6 | 100% | 0% |
| ED - 5 | 80% | 20% |
| ED - 4 | 60% | 40% |
| ED - 3 | 40% | 60% |
| ED - 2 | 20% | 80% |
| ED - 1 | 0% | 100% |
＜After the Change＞
| Roll Period Weights | The 1st contract month | The 2nd contract month |
| ED (Expiry Day of each component futures contract) - 7 | 100% | 0% |
| ED - 6 | 80% | 20% |
| ED - 5 | 60% | 40% |
| ED - 4 | 40% | 60% |
| ED - 3 | 20% | 80% |
| ED - 2 | 0% | 100% |
| ED - 1 | 0% | 100% |
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Osaka Exchange, Inc. Market Planning & Development Department
TEL:+81-6-4706-0800 (Switchboard)