Kawaller, Ira G.; Koch, Paul D.; Peterson, John E. - In: Journal of Futures Markets 21 (2001) 12, pp. 1119-1149
During the last weeks before each quarterly expiration of Standard & Poor's (S&P) 500 futures, the bulk of trading volume begins to shift away from the next‐to‐expire (nearby or lead) contract toward the second‐to‐expire (next out) contract. At some point, the exchange formally...