Most ETFs/commodity indices roll on the 5th through 9th business days. This is convention. It can be 1st through 4th, it can be 6th through 10th, or any other c

Most ETFs/commodity indices roll on the 5th through 9th business days. This is convention. It can be 1st through 4th, it can be 6th through 10th, or any other combination. It makes sense, however, to have it over a few days to avoid liquidity issues. One common misconception: "buying" a "more expensive" future contract costs money. This is false. Futures are unfunded. This means it costs no upfront cash (except margin) to "buy" it. So let's say I have a future worth $70, I buy it, I wait one month, it's still at $70, and I sell it. No cash was ever exchanged. If now I "roll" to a future that's worth $80. I don't pay an extra $10. I pay $0, again.