Complete Definition of "Goldman roll"

English

Noun
en-noun|-

  1. context|finance|slang In the commodity futures market, the Goldman Sachs Commodity Index is a widely-used world-production weighted index that is used for commodity-based financial products. The Goldman roll refers to the 5-business day period when the index is rolled forward (in 20% increments) into the next futures expiration month. The roll occurs on the 5th through 9th business day of the month proceeding the futures expiration month.

#:Cattle futures settled lower as funds transferred some of their August long positions into October cattle futures on this day three of the five days of the Goldman Roll.

References

http://www.traders.com/Documentation/FEEDbk_docs/Archive/082003/Abstracts_new/Barrie/barr.html

ru:Goldman roll

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