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=11 |
| Future |
Future Root |
Description |
Roll Rule Description |
| @IBHZ24 |
@IBH |
IBOXX HIGH YIELD CORPORATE BOND INDEX DECEMBER 2024 |
Roll on expiration date. |
| @IBIZ24 |
@IBI |
IBOXX INVESTMENT GRADE CORP BOND INDEX DECEMBER 2024 |
Roll on expiration date. |
| @IEMZ24 |
@IEM |
IBOXX $ EMERGING MARKET BOND INDEX DECEMBER 2024 |
Roll on expiration date. |
| @VMTX24 |
@VMT |
MINI CBOE VOLATILITY INDEX TAS NOVEMBER 2024 |
Roll 1 trading days before expiration date. |
| @VX1X24 |
@VX1 |
VIX WEEKLYS WEEK 1 NOVEMBER 2024 |
Roll on expiration date. |
| @VX2X24 |
@VX2 |
VIX WEEKLYS WEEK 2 NOVEMBER 2024 |
Roll on expiration date. |
| @VX4X24 |
@VX4 |
VIX WEEKLYS WEEK 4 NOVEMBER 2024 |
Roll on expiration date. |
| @VX5V24 |
@VX5 |
VIX WEEKLYS WEEK 5 OCTOBER 2024 |
Roll on expiration date. |
| @VXMX24 |
@VXM |
MINI CBOE VOLATILITY INDEX NOVEMBER 2024 |
Roll 1 trading days before expiration date. |
| @VXX24 |
@VX |
CBOE VOLATILITY INDEX NOVEMBER 2024 |
Roll 1 trading days before expiration date. |
| @XVTX24 |
@XVT |
CBOE VOLATILITY INDEX TAS NOVEMBER 2024 |
Roll on expiration date. |
