Roll effective spread proxy
Can a price series provide a rough proxy for the spread?
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サンプルJSON
仕様JSON
サンプル基準日
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) (折れ線)
Relative to historical baseline (x)
Relative to historical baseline (x) (棒)
Event detail and data date
Roll spread (quote currency) and Relative to historical baseline (x) (表)
サンプルデータ行
| 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 |