Roll over futures

[timham]

I have recently starting trading equity index futures taking long positions in some countries and short ones in others. Many of the futures 'mature' on 19th March and have cash settlements.

I want to maintain my market exposure through that period. I will therefore close out the positions in the current month (march) and open up positions in the next period (typically June). That's ok, but I want to avoid the transaction costs of selling and buy back again. I am with interactive brokers who are pretty cheap, but I also have the spread to worry about.

Is there anything I can do about this?

Thanks a lot
Tim

 

[arabianights]

the calendar spreads are tradeable and are extremely liquid (40k on ftse bid 11k on offer, half tick spread atm for example), your costs in making the roll will be negligible.

 

[Martinghoul]

Trading the roll is a bit of an art unto itself...

 

[timham]

Many thanks.

I have looked at this on Interactive Brokers and made the trades using a 'combo' order. As you say the cost was minimal. Very pleasing indeed.

Tim