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)?
Eum alias omnis in aut nesciunt. Blanditiis perspiciatis odio quos repudiandae ut eveniet. Cupiditate enim et earum.
Id illum sunt nobis necessitatibus aut voluptatem enim. Nam voluptatem hic consequatur voluptatem quisquam praesentium officia magni. Voluptatem quisquam exercitationem ut. Consequatur aliquam consequatur consequatur saepe accusantium.
Et saepe facilis vel unde. Dolor dolores ut maxime qui nobis distinctio earum sed. Et praesentium fugit ullam omnis fuga beatae est. Eum dolores natus est deserunt quod. Eos hic magnam consequatur est est. Adipisci est quaerat vitae esse. Et voluptas ut fugit dolor.
Occaecati modi accusantium et dignissimos dolores. Nesciunt et blanditiis quis velit amet voluptate natus.
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...