What Is the SGX TSR20 'Active Contract'? What Should Be Noted When Rolling Over the Price Series?

Definition

SGX TSR20 futures list multiple consecutive contract months simultaneously. The contract with the highest daily trading volume and open interest is usually the nearest month, which the market treats as the active (front-month) contract. The official daily market report lists the open, high, low, close and settlement price for each contract month.

The spread between the second-month contract and the active contract reflects market expectations of near-term versus deferred supply and demand, serving as a window to observe basis and curve structure.

Rollover Cautions

When the near-month contract approaches its last trading day, liquidity shifts to the next contract month, and the active-contract designation switches accordingly. Because adjacent contract months trade at a spread, the active-contract series will show a gap on the rollover day—this is not a sudden price move but a contract switch.

When making cross-day or cross-month price comparisons or calculating average prices, the methodology should be stated clearly: whether it is a continuous price for the same contract month or a spliced series built from rolling active contracts. The long-term trend implications differ between the two.

The futures active-contract price and the physical spot price are on different bases: the former is an exchange-traded standardized forward contract price, while the latter incorporates specific origin, factory, lot size and delivery terms. The two cannot be equated directly.