Is it possible, for the future, to have the next futures contract available a few days in advance?
For example for VIX I noticed that in the last days the liquidity of the last contract has been decreasing and the spread increasing. Correct me if I’m wrong, but I believe this will affect the price at the rollover.
If the next contract was already available (as it is for oil) one could manually do the rollover in advance. You could also have an option to automatically do the rollover at a specified time, instead of doing it at the closure.