Panama Adjustment for Futures contracts

panama_adjustment.py

import pandas as pd

#load data from your preferred source
data = pd.read_csv("PATH/TO/FILE/futures_rolling.csv", index_col = [0], parse_dates=True)

june_21 = data["VX-2021M"]
july_21 = data["VX-2021N"]

def panama_adjustment(previous_futures, next_futures, roll_date):
    roll_gap = next_futures[roll_date] - previous_futures[roll_date]
    adjusted_price = pd.concat([previous_futures[:roll_date] + roll_gap, next_futures[roll_date:]])
    adjusted_price = adjusted_price[~adjusted_price.duplicated()]
    
    return adjusted_price

adjusted_price = panama_adjustment(june_21, july_21, "2021-06-16")