cash / futures price cmc

[skittles]

Guys. I trade with CMC and usually trade the spx cash, but recently have been trading the spxMarch.

What happens if i hold the march trade into April. Is that possible? Does the symbol change? Do cmc close my trade at whatever the price is when it rolls over? What happens?

thanks.

S

 

[Jack o'Clubs]

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.

 

[skittles]

Thanks J.O.C.

It must be the Quarterly. Just realised it say SPX march 07 Q.

cool.

 

[the blades]

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.

Eyup JOC,

With their equity bets, they roll over at no charge (I suspect you knwo this already). This is another advantage of CMC over all the others (certainly the ones I use) - I'd be suprised if they have no concession on the spread on a quarterly index bet roll-up?

Anyone know? (Edit - after a quick call it seems they close at the mid, then open at the new bid or offer so there is a concession - though I had no confidence the chap who dealt with me was certain of that)

Cheers,
UTB

 

[Jack o'Clubs]

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.

 

[the blades]

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.

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

 

[Jack o'Clubs]

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

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
​

quarterly/monthly stops and limits on expiry? Are quarterly/monthly CRBs treated the same way?
​

A. On the day of expiry all non CRB quarterly/monthly positions are rolled over to the next
​

quarter/month.
​

The expiring quarterly/monthly position is closed out on the day of expiry at the official settlement price
​

of the subsequent quarter/month plus or minus the inverse(inverse is used because we need to find a
​

theoretical cash price from the future rather than a theoretical future price from the cash) of the fair
​

value difference.
​

The new position is opened on the next trading day in the subsequent quarter/month at the official
​

settlement price.
​

Example
​

UK100 June expiring and rolling to September.
​

UK100 September future settlement price = 4425(Level at which new position is opened)
​

Fair Value Difference for September future = -25 inverse of –25 = 25
​

4425 + 25 = 4450(Level at which the expiring position is closed out)
​

No charges are incurred when quarterly/monthly positions are rolled as the closing and open prices
​

relate directly to where the relevant instruments are trading. All quarterly pending orders are
​

automatically cancelled by the dealing software at 10pm on the day of expiry. All CRB quarterly positions
​

are closed out on the day of expiry at the official closing time of the cash index that the future is derived
​

from at CMCs bid price if selling and offer price if buying. Eg. 16:30 – UK100, 21:00 – US30.
​

 

[the blades]

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
​

quarterly/monthly stops and limits on expiry? Are quarterly/monthly CRBs treated the same way?
​

A. On the day of expiry all non CRB quarterly/monthly positions are rolled over to the next
​

quarter/month.
​

The expiring quarterly/monthly position is closed out on the day of expiry at the official settlement price
​

of the subsequent quarter/month plus or minus the inverse(inverse is used because we need to find a
​

theoretical cash price from the future rather than a theoretical future price from the cash) of the fair
​

value difference.
​

The new position is opened on the next trading day in the subsequent quarter/month at the official
​

settlement price.
​

Example
​

UK100 June expiring and rolling to September.
​

UK100 September future settlement price = 4425(Level at which new position is opened)
​

Fair Value Difference for September future = -25 inverse of –25 = 25
​

4425 + 25 = 4450(Level at which the expiring position is closed out)
​

No charges are incurred when quarterly/monthly positions are rolled as the closing and open prices
​

relate directly to where the relevant instruments are trading. All quarterly pending orders are
​

automatically cancelled by the dealing software at 10pm on the day of expiry. All CRB quarterly positions
​

are closed out on the day of expiry at the official closing time of the cash index that the future is derived
​

from at CMCs bid price if selling and offer price if buying. Eg. 16:30 – UK100, 21:00 – US30.
​

another reason why CMC tick most of the boxes for me. Thanks for the info JOC

UTB

 

[skittles]

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?

 

[PualoP]

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?

ckeck out the definitions of "contango","backwardation" and "cost of carry"