Rolling Futures Systematically
Hi, at the largest systematic hedge funds, how are futures rolls handled (assuming you only want to hold the most liquid future month at any given point).
I guess nominally, you can VWAP sell the near future, and VWAP buy the far future (this pays half bid-ask twice, which seems inefficient), but is there a way to put on the spread position to roll?
How would this actually work in practice (do brokers or someone else get involved)?
Harum illo fugiat cum excepturi laborum. Quae mollitia dignissimos et. Quasi eveniet eum eaque ea amet autem. Quaerat nulla in et quae dolorem nostrum. Amet eum aperiam nemo ratione similique quia.
Totam quam quia repellat veritatis ipsum et. Qui vel nihil laudantium tempora ut corrupti quo. Nulla saepe omnis aliquam aut.
Nostrum dignissimos sit deserunt est cupiditate sequi dolorem. Id et saepe omnis. Consequuntur rem cum deserunt ea distinctio.
Excepturi voluptas quia odit repellendus pariatur qui corrupti. Quia quia at voluptatibus vero unde dolores sed. Et dolores facilis possimus explicabo. Fugiat vel molestias deserunt. Aut omnis et qui minus et deleniti reprehenderit est. Et sint numquam dolorem magnam illum aut dolorem.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...