Futures rollover webpage/stick thread - Commodities Futures Trading | futures io social day trading
futures io futures trading


Futures rollover webpage/stick thread
Updated: Views / Replies:3,132 / 12
Created: by RM99 Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Futures rollover webpage/stick thread

  #11 (permalink)
Trading for Fun
london
 
Futures Experience: None
Platform: various
Favorite Futures: Glockenspiel
 
Posts: 166 since Jan 2012
Thanks: 43 given, 157 received


Fat Tails View Post
The rollover question is simple for some of the futures contracts (including all the financials and precious metals) and it is difficult for physically traded commodities such as crude oil and the agriculturals.

I doubt that you can code an algorithm, which does it all.

Let us take CL. First you need to look up the last trade date and the first notice date. The rollover date needs to be prior to both these dates. Then the question is whether you use that rollover date

-> to roll your position (you will have a look at liquidity)
-> or to build a backadjusted contract (the offset depends on the rollover date)

For rolling my position, I will use some discretion, as for example that Cushing delivery is totally insane, so I would rather roll early than late, to avoid potential trouble during the last days of trading of that CL contract. I would be less concerned to roll a position late in Brent Crude traded at IPE.

I have never succeeded to find an algorithm for CL.

Excellent points.

People will roll positions when there is good basis potential. This will give a portfolio manager extra alpha. Whether the contract is trading at contango or backwardation will be a significant consideration.

Some months that will be earlier than the 'average' date, some times later.

In other words, it's pretty much a discretionary decision.

Ive seen brokerage reports proving there will be an extra 20 bps available rolling earlier/later than normal. Thats significant in terms of annual bonus to a manager.

Code that. Lol.

Reply With Quote
 
  #12 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary


TheDude View Post
Ive seen brokerage reports proving there will be an extra 20 bps available rolling earlier/later than normal. Thats significant in terms of annual bonus to a manager.

Code that. Lol.

I doubt that this is true for financials. But I believe that the spread between the two front months can be distorted by

-> the structure of the inventory (open interest)
-> the physical market close to delivery

Let us take crude oil which is delivered at Cushing as an example. Usually long only commodity funds need to roll their positions over. This means that it can be a profitable strategy going short prior to rollover and then buy from long funds when rollover date is approaching. Then sell the new front month and wait for the next rollover date.

However, from time to time there is a physical shortage in Cushing, due to pipeline maintenance or other reasons, and professional traders step in and purchase long positions to get delivered. In such a case their can be a magnificent short squeeze, as the shorts are trying to purchase back their positions in order to avoid to get assigned for delivery.

Reply With Quote
 
  #13 (permalink)
Trading for Fun
london
 
Futures Experience: None
Platform: various
Favorite Futures: Glockenspiel
 
Posts: 166 since Jan 2012
Thanks: 43 given, 157 received



Fat Tails View Post
I doubt that this is true for financials. But I believe that the spread between the two front months can be distorted by

-> the structure of the inventory (open interest)
-> the physical market close to delivery

Yep it was actually - it was an idnex future, i think ftse100 or some lesser traded contract.

Reply With Quote

Reply



futures io > > > > Futures rollover webpage/stick thread

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Futures Rollover Rules jdfagan Traders Hideout 2 May 5th, 2011 01:57 AM
May I light Your Stick of Dynamite, Sir? glennw The Elite Circle 4 February 27th, 2011 08:09 PM
Europe Seems to Stick to Same Economic Strategy Quick Summary News and Current Events 0 December 30th, 2010 07:10 AM
Price marker from actual candle stick jsengxx NinjaTrader Programming 4 December 16th, 2009 12:29 PM
FF allows the THREAD STARTER to ignore posters so they can NOT post in their thread. TheRumpledOne Off-Topic 2 September 19th, 2009 01:53 AM


All times are GMT -4. The time now is 06:40 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-12 in 0.09 seconds with 19 queries on phoenix via your IP 54.145.51.250