CME Group Rolling Futures Indices
An end-of-day index that represents the performance of a continuous rolling investment in an underlying CME Group futures contract.
Benchmark performance
Provides an index level that can be used to benchmark investment performance across various markets.
Product creation
Serves as an underlying for exchange-traded products or mutual funds, facilitating easy replication.
OTC derivative settlement
Can be used as a transparent reference rate for over-the-counter derivative products.
Highly liquid and replicable
Underpinned by highly liquid futures contracts and constructed for smooth, easy replication by market participants.
Understanding the indices
A rolling futures index represents the performance of a continuous rolling investment in an underlying futures contract. The end-of-day index value uses the settlement prices calculated and published by CME Group. The index is designed with a rolling mechanism, which replicates the typical roll in each futures market.
Resources
Index offerings
Our CME Group Rolling Futures Indices cover CME Group futures contracts across a wide range of asset classes.
List of CME Group Rolling Futures Indices by asset class
Index name
Product code
CME Group Natural Gas Rolling Futures Index
NGCRF
CME Group Crude Oil Rolling Futures Index
CLCRF
CME Group RBOB Gasoline Rolling Futures Index
RBCRF
CME Group NY Harbor ULSD Rolling Futures Index
HOCRF
Index name
Product code
CME Group Corn Rolling Futures Index
ZCCRF
CME Group Chicago Wheat Rolling Futures Index
ZWCRF
CME Group KC Wheat Rolling Futures Index
KECRF
CME Group Soybean Rolling Futures Index
ZSCRF
CME Group Soybean Oil Rolling Futures Index
ZLCRF
CME Group Soybean Meal Rolling Futures Index
ZMCRF
CME Group Lean Hogs Rolling Futures Index
HECRF
CME Group Live Cattle Rolling Futures Index
LECRF
CME Group Feeder Cattle Rolling Futures Index
GFCRF
Index name
Product code
CME Group Euro FX Rolling Futures Index
6ECRF
CME Group British Pound Rolling Futures Index
6GCRF
CME Group Swiss Franc Rolling Futures Index
6SCRF
CME Group Japanese Yen Rolling Futures Index
6JCRF
CME Group Canadian Dollar Rolling Futures Index
6CCRF
CME Group Mexican Peso Rolling Futures Index
6MCRF
CME Group Australian Dollar Rolling Futures Index
6ACRF
Index name
Product code
CME Group Gold Rolling Futures Index
GCCRF
CME Group Silver Rolling Futures Index
SICRF
CME Group Copper Rolling Futures Index
HGCRF
CME Group Platinum Rolling Futures Index
PLCRF
CME Group Aluminium Rolling Futures Index
ALICRF
Index name
Product code
CME Group 2Y T-Note Rolling Futures Index
ZTCRF
CME Group 5Y T-Note Rolling Futures Index
ZFCRF
CME Group 10Y T-Note Rolling Futures Index
ZNCRF
CME Group U.S. Treasury Bond Rolling Futures Index
ZBCRF
CME Group Ultra 10Y T-Note Rolling Futures Index
TNCRF
CME Group Ultra U.S. Treasury Bond Rolling Futures Index
UBCRF
Index name
Product code
CME Group Bitcoin Rolling Futures Index
BTCCRF
CME Group Ether Rolling Futures Index
ETHCRF
Use cases
Our CME Group Rolling Futures Indices offer versatile applications for a wide range of financial professionals.
Get connected: steps for licensing and access
Step 1: Determine your use case
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- For access to historical data or daily files, visit DataMine.
Step 2: Complete Information License Agreement (ILA)
If you don’t already have one, you will need to complete an Information License Agreement (ILA) or update your existing agreement to include licenses for this data.
Step 3: Access data
Once licensing is complete, you can begin accessing the data via your chosen connectivity option.
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