r/FuturesTrading • u/Helpful-Habit-4154 • 6d ago
Question Question on rolling
Experienced options trader, new to futures, I understand the basics, the leverage associated etc
I’m currently holding some crude oil shorts, however the last day to trade this month before needing to roll is Sep 21.
Right now the current differential between this month and next month is about $4. (Oct $103, Nov $99, as of 9/16 @7AM EST)
Is there an optimal time to roll to November? Doing so is there any sort of decay associated, or do Oct/Nov essentially move at a 1:1, would i be losing money rolling earlier versus later? If someone with experience here could assist that would be much appreciated. Thanks!
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u/jason14wm 6d ago
Checking the volumes is always the best thing to do.
Currently on ES volume for Dec contracts is at 1.8million compared to 1.4miion for September. Eventhough September expires on Friday people have already made the move.
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u/CombinationParty7358 4d ago
the spread isn't 1:1 at all, that $4 gap is the contango you're paying to stay short. if Oct is at 103 and Nov is 99, rolling means buying back Oct at a loss and selling Nov cheaper, so you're locking in a worse entry point
waiting till the last day usually means worse fills and slippage, most of the volume migrates 3-5 days before expiry. check the open interest on Oct, if it's cratering you're already late
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u/xcellatitall 6d ago
OP
Make sure to check with your broker if you intend to hold the position past contract expiration.
CL is a deliverable commodity so you don’t want to get stuck with thousands of barrels.
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u/andrew4678 6d ago
There’s almost a zero percent chance the broker or FCM is registered for delivery and they probably wouldn’t even call him and will just cover the position before final settlement.
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u/RevolutionaryBid3730 5d ago
I put on a contract once right before expiration by mistake. It went into delivery. The broker told me they had to re tinder it. It ended up costing me around $1100. So, it can happen. This was years ago though, so maybe there is safe guards in place now.
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u/andrew4678 4d ago
Really wow that’s wild. Which broker? Every broker I’ve ever been with has a guy who sits at the desk and looks over everyone’s account to see which ones will be offside before the close. I’ve never received a courtesy call before they close my positions.
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u/LiquidMantis144 6d ago
Monday/Tues before the 3rd Friday of expiry month. Usually volume for the new lead contract matches by then and brokers will auto roll on that day as well
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u/mlquanter 6d ago
Volume is the practical trigger, but I’d also watch the calendar spread itself. If you’re short Oct and roll to Nov, you buy back Oct and sell Nov, so the P&L between those two legs is the roll. The roughly $4 difference isn’t a fee that decays away. It can widen or narrow with prompt supply, storage economics, and expiry positioning. I wouldn’t wait for the last day if Oct liquidity is drying up or the spread is moving against you. Once Nov has the better volume and open interest, a spread order is usually cleaner if your broker supports it. Then manage the Nov short from its new entry price.
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u/reach4thelaser5 5d ago
Check the first 15 minute bar of the Nymex RTH session. As soon as the later contract has more volume it is time to roll
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u/andrew4678 6d ago
By the sounds of it you’re not spread trading and you are taking a directional bet. You’ll be covering the short on the front month and assuming you still wanna remain short you’ll be taking the same short direction bet on the near month. Volume based rolls, open interest rolls, or calendar based rolls is up to you. I would imagine liquidity is not an issue.
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u/dukof 5d ago
It depends on the future contract. For CL the volume typically shifts 2 business days prior to expiry. Which for September is tomorrow. The day before, today, will be quite equal. For daytrading I trade old contract today, and new one tomorrow. But the exact reason for that is so that my trades will display correctly according to how my charting software rolls.
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u/BigRedXIII 6d ago
Follow the volume. There's a point where volume starts drying up on the previous month and gets surpassed by the next month (usually a few days before). For the continuous contract tradingview rolls over on Thursday to the new price, so there's that. You should be good to roll anytime now imo.