Goldman roll

[timdug]

Hey all,
Are there any traders out there that trade around the 'Goldman roll? Im doing some research on it and would like to chat.
https://en.wikipedia.org/wiki/Goldman_roll

 

[truetype]

Used to work. Note carefully the dates in the Wiki article.

 

[ryker]

I did some quick analysis on this and this is not really profitable anymore so I dropped it.
There are plenty of papers out there on this subject.

 

[truetype]

plenty of papers out there on this subject.

Which is why it's not longer profitable!

 

[ryker]

Precisely.

 

[timdug]

It is interesting though when trading these commodities to be aware that there are portfolio rolls happening between day 5 and 9 of the contract expiring the following month. Am going to do some more research led by volume fluctuations in these days. My question to all here and to myself really - what is the trade.