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For all of those that use cumulative delta in one way or another, im curious how you adapt/adjust the information when contracts are into the days/weeks prior to expiry/rolls?
The new contract CD will clearly be impacted by rolling from old to new. I guess to be fair this also impacts those that follow time&sales prints.
Easy way would be parsing out any roll trades but i suspect exchange data doesnt know if was a pair trade or outright and would also assume some leg in and out making it impossible to know.
Also maybe if anyone has a view that it doesnt matter and should treat roll periods the same as any other session?
Thanks for the thoughts.
Can you help answer these questions from other members on NexusFi?
If you use CD for a basic idea of who's more aggressive, then the roll just doesn't matter that much. If you use it for more than that, then you're making assumptions about what it means that don't hold anyway. In either case, the roll shouldn't really affect you.
Guess comes down to the specific contract you trade and its rolling percentage.
Why you think it doesnt matter in determining which side is being more aggressive? Surly there is a scenario that a big roll trade causes divergence in data but is a different all in risk for the market as a whole, so should be read differently.
Sure, that scenario happens and might skew your take on it. But someone hedging a huge long equity position will hit futures and appear to be a "big seller" when in fact he has no desire to take the market further down .. just filling an order. And whether others follow is important, not what he did. So, what does that tell you? Nothing, because you can't know the source and intent. Spreads, hedges, outright speculation -- they are happening all the time. Roll can skew your interpretation of things, but these others can too. My point is that you are not in a position of knowing what it really means anyway, as we are always making assumptions that may or may not be true; so, don't sweat the day or two that positions are rolled.
I would think the easiest way to clear this up would be to put up the old contract and new, and note what differences you see.
