Future Roll Monitor

Rolling futures is not just a mechanical action — it is a structural decision.

When you move from one contract to the next, you are exposed to changes in price, liquidity, and term structure. The difference between contracts (the “roll”) can quietly add cost, generate yield, or signal shifts in supply and demand dynamics.

Future Roll Monitor helps you understand what is happening beneath the surface during contract transitions.

Why Roll Analysis Matters

Most traders focus only on price.

Professionals also monitor:

The spread between front and next contract
Whether the curve is in contango or backwardation
Where liquidity is migrating
How open interest is shifting

These factors affect:

True carry exposure
Execution quality
Structural pressure in the market
The real cost of maintaining a position

Ignoring the roll can distort performance expectations.

What This Tool Shows

This version provides essential roll awareness:

Front & next contract data (price, DTE, volume, open interest)
Roll cost in absolute and percentage terms
Curve direction (Contango / Backwardation)
Volume ratio (is liquidity shifting?)
Open interest ratio (is positioning migrating?)

It helps answer key questions:

Has the market started rolling?
Is the roll expensive?
Is liquidity already concentrated in the next contract?
What structure am I stepping into?

Note di rilascio

Part of the code moved to libraries
Added an option to switch between allowed and major future contracts.

Script open-source

Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.

QuantNomad

Quant Developer | Pine Script v6 | Python & R
12+ yrs system. trading, hedge fund experience

Indicators, strategies & screeners
Futures & options

💼 Hire/Consulting:
qntly.com/hire

🎓 Pine Code With AI:
qntly.com/pineai

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Script open-source

QuantNomad

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