Goldman roll

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.
 
Last edited:
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.
 
Back
Top