Way to not have to roll futures, but buy the "spread"?

[Saltynuts]

Thanks cvds16. FSU mentioned rolling a few days earlier in another thread as well. I understand the theory is that buyers/sellers will know you have to roll and thus will offer less on the expiring June contracts and charge more for the July contracts. But I would have thought that would have been arbitraged away otherwise it would be a pretty inefficient market no? Plus, when the June 2018 futures stop trading on June 20th at 8:00 central, and payout is determined, at that point you can just buy the July futures, so at least you would get around having to sell the June futures with very little time when you are not covered?

Thanks!

 

[sellindexvol66]

Thank you all your kind sirs! sellindevol66, I think that finally put me over the top and able to figure it out. The bid/offer is like .97 and .99, so I take its the "good one" FSU you are referring to. And thanks so much again FSU for telling me about these! Life just got a little bit better.

Couple more quick questions:

Are these spread offered products separate and apart from the actual difference in prices the different month contracts might be trading for, so theoretically there could be some price advantage or disadvantage of going the spread route or not (although I would guess that is arbed away pretty good).

Has anyone ever done any testing, or have any thoughts, if its better to roll somewhat before the expiration and buy the new month a little early, as oppose to just let it expire first thing the next morning and that same second buy the new ones?

THanks!

salty, its always nice to see someone looking at these...but take it from someone who has traded them for 10 yrs and nothing else for a living..these are non intuitive and really require you to study via being all in imo. i still make lots of errors; but when u trade well its some reward.

best advice is watch, record pricing, look at how they (all spreads in the curve) react on vol moves up and down.