Commodity Market: CFE
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The symbology for a future contract is [FUTURE ROOT][MONTH CODE][2 DIGIT YEAR]
For example: @ESZ15 = Emini S&P 500 December 2015 Future Contract
The symbology for a future option contract is [FUTURE SYMBOL][P/C][STRIKE]
For example: @ESZ15C154000 = Emini S&P 500 December Call at 1540.00 strike
MONTH CODES
Jan-F
Feb-G
Mar-H
Apr-J
May-K
Jun-M
Jul-N
Aug-Q
Sep-U
Oct-V
Nov-X
Dec-Z
· Replace the Month and Year code with "#" for Front Month (ie. @ES# instead of @ESZ15).
· Replace the Month and Year code with "#C" for Front Month back-adjusted history (ie. @ES#C instead of @ESZ15).
| CFE: Records=12 |
| Future |
Future Root |
Description |
Roll Rule Description |
| @IBHM24 |
@IBH |
IBOXX HIGH YIELD CORPORATE BOND INDEX JUNE 2024 |
Roll on expiration date. |
| @IBIM24 |
@IBI |
IBOXX INVESTMENT GRADE CORP BOND INDEX JUNE 2024 |
Roll on expiration date. |
| @MB1J24 |
@MB1 |
AMERIBOR 1 MONTH FUTURES APRIL 2024 |
Roll on expiration date. |
| @MT1K24 |
@MT1 |
CBOE AMERIBOR TERM 30 FUTURES MAY 2024 |
Roll on expiration date. |
| @MT3M24 |
@MT3 |
CBOE AMERIBOR TERM 90 FUTURES JUNE 2024 |
Roll on expiration date. |
| @VMTK24 |
@VMT |
MINI CBOE VOLATILITY INDEX TAS MAY 2024 |
Roll 1 trading days before expiration date. |
| @VX1K24 |
@VX1 |
VIX WEEKLYS WEEK 1 MAY 2024 |
Roll on expiration date. |
| @VX2K24 |
@VX2 |
VIX WEEKLYS WEEK 2 MAY 2024 |
Roll on expiration date. |
| @VX4J24 |
@VX4 |
VIX WEEKLYS WEEK 4 APRIL 2024 |
Roll on expiration date. |
| @VXK24 |
@VX |
CBOE VOLATILITY INDEX MAY 2024 |
Roll 1 trading days before expiration date. |
| @VXMK24 |
@VXM |
MINI CBOE VOLATILITY INDEX MAY 2024 |
Roll 1 trading days before expiration date. |
| @XVTK24 |
@XVT |
CBOE VOLATILITY INDEX TAS MAY 2024 |
Roll on expiration date. |
