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Crude Oil Futures Switch Explanation
Because futures are traded on a monthly basis, it is important to analyze the most active (liquid) month to get the most accurate view of trading patterns. In general, contracts that are in the future trade at a premium, reflecting the cost of storage. Thus, in general, the March contract will trade at a premium to February, and the February contract will trade at a premium to January.

Sometime in the middle of the month, the volume of the active month will dry up as traders switch their positions to the next active month. When volume of the following month outpaces that of the active month, SEAT9K will start analyzing the activity of the contract with the most volume.

However, there has to be some accounting for the premium or else on the day of the switch it will appear that there was a sudden change of price. To account for this, SEAT9K adjusts the historical prices by the amount of the premium on the day of the switch.

For example, if on the day of the switch, January is trading at 65.00 and February is trading at 65.50, SEAT9K will increase all the historical prices up to the day of the switch higher by 50 cents. Although this will result in the absolute historical prices being inaccurate, the reader of the charts will get an accurate relative view over a longer period of time.