NexusFi: Find Your Edge


Home Menu

 





ES contract rollover strategy


Discussion in Traders Hideout

Updated
      Top Posters
    1. looks_one grausch with 1 posts (1 thanks)
    2. looks_two nathanologist with 1 posts (0 thanks)
    3. looks_3 Quick Summary with 1 posts (0 thanks)
    4. looks_4 US Bond Trader with 1 posts (0 thanks)
    1. trending_up 2,734 views
    2. thumb_up 1 thanks given
    3. group 2 followers
    1. forum 4 posts
    2. attach_file 0 attachments




 
Search this Thread

ES contract rollover strategy

  #1 (permalink)
 
nathanologist's Avatar
 nathanologist 
Burlington, Vermont
 
Experience: Beginner
Platform: StockTwits
Broker: Robinhood
Trading: ES, GC, ZB
Posts: 708 since Jun 2015
Thanks Given: 879
Thanks Received: 781

Right now ES 9/15 is at 1937
Right now ES 12/15 is at 1927

I've been through 2 rollovers live, and am wondering if there's a decent strategy for trading it. When to switch, is there an edge to switching earlier or later?

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Futures True Range Report
The Elite Circle
Are there any eval firms that allow you to sink to your …
Traders Hideout
NexusFi Journal Challenge - April 2024
Feedback and Announcements
Deepmoney LLM
Elite Quantitative GenAI/LLM
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
38 thanks
NexusFi site changelog and issues/problem reporting
27 thanks
GFIs1 1 DAX trade per day journal
19 thanks
The Program
18 thanks
  #3 (permalink)
 grausch 
Luxembourg, Luxembourg
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Stocks
Posts: 494 since May 2012
Thanks Given: 1,731
Thanks Received: 1,159



grausch View Post
Most ETFs use futures to some degree to maintain their exposure. In the past there was an exploitable edge, i.e. when these ETFs rolled their contracts, you could try and front-run them and by shorting the closer month and buying the next month. This trader made decent money using that strategy Emil van Essen - IASG but I don't think he trades it anymore. I believe it was his spread-trading strategy and the performance was good for a year or two and thereafter it decreases quite a lot.

I believe most of the ETFs and LTTF funds now start rolling over earlier and try and minimize their impact in order to keep their roll-over cost as low as possible. Another example of how the market constantly changes...

Quoting myself from another thread. There used to be an edge, and the CTA I linked to make very decent money exploiting that. I don't have access to IASG, but based on what I could see the strategy is no longer being traded - I have read elsewhere that ETFs discovered they were being exploited. If you hold longer term positions, I would advise rolling earlier. If you daytrade, then there may still be some effect, but I suspect most ETFs and LTTF funds now roll their contracts earlier and spread the process out a lot which will reduce the dislocation between the current month and the next month contract.

Reply With Quote
Thanked by:
  #4 (permalink)
 US Bond Trader 
Chicago, Il
 
Experience: Master
Platform: NT, CQG, Bloomberg
Trading: US
Posts: 64 since Apr 2014
Thanks Given: 11
Thanks Received: 39

the spread as it is listed on the exchange is extremely liquid, like 100k up. so it wont move much. of course if you want to get fancy you can try and leg it to save a tick but you leave yourself open the getting legged up and getting a worse fill.

Reply With Quote
  #5 (permalink)
 eyewall 
Austin, TX
 
Experience: Advanced
Platform: NT, TS, TOS, IB
Trading: ES
Posts: 14 since Sep 2015
Thanks Given: 0
Thanks Received: 4

I've played with this a few times, not worth it in my opinion. Remember, the spread between the ES contracts moves, but the ultimate convergence is between that last front month contract and the cash index. So, something built out of the futures and the cash is what I was messing with and it just didn't seem worth it to me. But, like I said, my opinion only.

Reply With Quote




Last Updated on October 7, 2015


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts