cash / futures price cmc

Jack o'Clubs said:

By default CMC will rollover your position to the next period which will be June if you're trading the quarterly, or April if you're trading their derived monthly. For the non-dailies this effectively means they close the bet on expiry and re-open it in the new contract period, but will discount the spread so it's cheaper than if you did it yourself.

This assumes its not one of their controlled risk jobbies which I don't think you can rollover.


EDIT: Actually I don't think they do discount the spread, so it's as if you closed and opened yourself, but seamless.

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Jack o'Clubs said:

Hi Blades,

Actually you're right - they close at the mid-point and re-open the next quarter at the mid-point. Doh, must read the T&Cs properly. Well intervened, slap on wrist Jack.

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the blades said:

hmm - if you're right, it confirms that the chap didn't know what he was telling me - and I asked him about three times for clarification! I think the lesson is to check the small print (as you've done) rather than rely on the "advice" over the phone - actually a slap on the wrist for me is required

For info for the originator - I know IG and Fins offer concessions, but there is a cost to rollover.

UTB

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Jack o'Clubs said:

FFS, I was reading from the equities bit of the T&C. Here we go, from the Dealing Guide on Index bets, I'll get there in the end...

Q. What happens to my quarterly/monthly position on expiry? What happens to my
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quarterly/monthly stops and limits on expiry? Are quarterly/monthly CRBs treated the same way?
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A. On the day of expiry all non CRB quarterly/monthly positions are rolled over to the next
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quarter/month.
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The expiring quarterly/monthly position is closed out on the day of expiry at the official settlement price
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of the subsequent quarter/month plus or minus the inverse(inverse is used because we need to find a
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theoretical cash price from the future rather than a theoretical future price from the cash) of the fair
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value difference.
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The new position is opened on the next trading day in the subsequent quarter/month at the official
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settlement price.
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Example
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UK100 June expiring and rolling to September.
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UK100 September future settlement price = 4425(Level at which new position is opened)
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Fair Value Difference for September future = -25 inverse of –25 = 25
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4425 + 25 = 4450(Level at which the expiring position is closed out)
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No charges are incurred when quarterly/monthly positions are rolled as the closing and open prices
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relate directly to where the relevant instruments are trading. All quarterly pending orders are
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automatically cancelled by the dealing software at 10pm on the day of expiry. All CRB quarterly positions
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are closed out on the day of expiry at the official closing time of the cash index that the future is derived
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from at CMCs bid price if selling and offer price if buying. Eg. 16:30 – UK100, 21:00 – US30.
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skittles said:

Another quick beginners question.
Doesn't the futures price start the quarter about 10 handles away from the cash price but when the quarter is ending they are about the same. What stops someone, for exapmle, shorting the JuneSPX and buying the cash today, and closing them out in a few months time when they are a similar price?

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