How are WTISpot and BrentSpot prices calculated?

How are WTISpot and BrentSpot prices calculated?

In short, maths. The price is derived from the front month’s price and the next month’s. The formula is below and weights the prices based on the proximity of the rollover date. Here’s the formula:

 

P1 + (P2 – P1) x D / N

 

Where:

D = Number of commodity business days from and including the previous expiration date (near-dated contract) but excluding the rollover date.

N = Number of commodity business days from and including the previous expiration date but excluding the next (far-dated contract) expiration date.

P1 = Price of near-dated contract

P2 = Price of far-dated contract

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