Show actual volumes in roll report?

[tgibson11]

I've lately found myself checking contract volumes on the CME website when considering whether to do a roll. It would be nice if at least the forward contract volume was included in the roll report (and the interactive version).

The relative volumes as shown currently are insufficient to make a roll/no-roll decision if you don't know also know the absolute volume in at least one of the contracts.

Anyone else have opinions?

[TobiasAntiGravity]

I do the same, for the same reason, when I am unsure about how big the market is

[robcarver17]

Bit wary of making the report a lot wider - would one new column showing the volumes in the forward contract in # of contract be sufficient? That's what you care about right?

[robcarver17]

1.0 is the highest volume. "Or does the forward become 1.0 and current volume < 1" Yes

So actually what we need I think is just two columns:

• Forward month, volume in contracts
• Forward month, relative volume

I also think it's more intuitive to change the latter so that it's relative to the current volume, eg "Does the current volume stay 1.0, and forward volume > 1"

[tgibson11]

That would be perfect.

[robcarver17]

Now implemented.

======================================================================================================================================================
                                                           Status and time to roll in days                                                            
======================================================================================================================================================

                   status roll_expiry price_expiry carry_expiry contract_priced contract_fwd position_priced  relative_volume_fwd  contract_volume_fwd
EURIBOR           No_Roll         -43          657          566        20240900     20241200               0                  NaN                    0
CRUDE_W_mini      Passive         -20           20          -11        20230100     20230200               1                0.032                  184
FTSEVIET          No_Roll         -10            0           30        20221100     20221200               0                0.000                    0
GAS_US_mini       Passive          -7           28           -4        20230100     20230200              -1                0.053                  229
GAS-PEN           No_Roll          -7           28           -4        20230100     20230200               0                  NaN                    0
BRE               Passive          -4            1           31        20221200     20230100               1                0.074                  291
USIRS5            No_Roll           0           20          104        20221200     20230300               0                0.000                    0

[TobiasAntiGravity]

Thank you very much Mr. Carver!

[tgibson11]

Excellent, thank you!

However...not to complain, but...I can't help noticing the very nice, logical column order in the roll report you pasted above, while the interactive column order is kind of random. (This has always been the case, but the addition of contract volume for some reason makes it too egregious for me to tolerate.)

I can fix it myself when I have a minute, but maybe you will beat me to it?