Roll effective spread proxy
Can a price series provide a rough proxy for the spread?
Download CSV
Sample JSON
Specification JSON
Sample as of
0700.HK Tencent Holdings | Hang Seng Index | 2025-10-16 – 2026-10-16 | HKD
- Latest value
- 32 bp
- Period average
- 64 bp
- Period high
- 254 bp
- Period low
- -100 bp
Roll effective spread proxy
Roll spread (quote currency) (Line)
Relative to historical baseline (x)
Relative to historical baseline (x) (Bar)
Event detail and data date
Roll spread (quote currency) and Relative to historical baseline (x) (Table)
Sample data rows
| Trading day/observation period | Roll spread (quote currency) | Relative to historical baseline (x) | Data date (sample) |
|---|---|---|---|
| 2025-10-16 | 86 | 1.54 | 2025-10-16 |
| 2025-11-03 | 122 | 1.22 | 2025-11-03 |
| 2025-11-17 | -100 | 0.9 | 2025-11-17 |
| 2025-12-03 | -40 | 0.83 | 2025-12-03 |
| 2025-12-19 | 105 | 1.92 | 2025-12-19 |
| 2026-01-02 | 95 | 0.78 | 2026-01-02 |
| 2026-01-20 | 254 | 0.96 | 2026-01-20 |
| 2026-02-05 | 218 | 0.96 | 2026-02-05 |
| 2026-02-23 | 71 | 0.46 | 2026-02-23 |
| 2026-03-09 | 101 | 0.88 | 2026-03-09 |
| 2026-03-25 | -100 | 1.41 | 2026-03-25 |
| 2026-04-10 | 91 | 1.69 | 2026-04-10 |
| 2026-04-24 | 80 | 0.9 | 2026-04-24 |
| 2026-05-12 | 245 | 0.76 | 2026-05-12 |
| 2026-05-28 | 81 | 0.46 | 2026-05-28 |
| 2026-06-11 | 46 | 0.34 | 2026-06-11 |
| 2026-06-29 | 56 | 1.22 | 2026-06-29 |
| 2026-07-15 | 4 | 0.6 | 2026-07-15 |
| 2026-07-31 | 45 | 0.75 | 2026-07-31 |
| 2026-08-14 | -100 | 0.33 | 2026-08-14 |
| 2026-09-01 | -70 | 0.62 | 2026-09-01 |
| 2026-09-17 | 209 | 0.59 | 2026-09-17 |
| 2026-10-01 | 78 | 0.75 | 2026-10-01 |
| 2026-10-16 | 32 | 1.53 | 2026-10-16 |