Rollover

Dear traderji , creditviolet , ivanboesky & senior members I have following doubts in cash & futures arbitrage can you help me to solve them :

1) how do one identify who is more aggressive ( i.e , buyers or sellers ) in their rollover?

2) What is rollover cost?

3) To rollover by selling the current month long future and buying next month long future , done one have to pay more price in terms of difference between the future price of the current month say Rs 100 and the future price of the next month say Rs 105 ( i.e , Rs 5more = Rs105-Rs100 )

4) Do rollover take place at expiry / settlement day or any after expiry/ settlement? If on expiry / settlement day, then at what time of the expiry day does rollover takes place?

1. by the cost of carry

2. difference between fair value and actual roll cost

3. Differs from one stock to another. Some roll at a premium, some at a disocunt

4. You can rollover anytime. You dont have to wait for expiry day.

thanks ivanboesky,can you please tell me

1)what is included in rollover cost ?

2)how is rollover cost calculated?


with regards,

learningcurve

1,2. difference between the fair value of the roll and the actual roll, transaction costs

Dear ivanboesky on what you have said , I am not clear on the following :


1) what is meant by by fair value of the roll ? please give an example.

2) what is meant by the actual roll ? please give an example.

3) what is meant by actual roll cost? please give an example.

dear ivanboesky,
you have taken the pain to answer so many of my questions, i will be pleased if you answer this question also since it is related to what you have said earlier about rollover to me in previous post and others will not be able to answer it.i will be glad if you add me to your buddy list. my doubts are
1) what is meant by by fair value of the roll ? please give an example.

2) what is meant by the actual roll ? please give an example.

3) what is meant by actual roll cost? please give an example.

4) From where can one know the percentage of rollover that has taken place for a particular month for a particular stock?

5) If we have to calculate our self the percentage of rollover that has taken place , then how to calculate it? please explain in detail.

with regards,

learningcurve

If you are a long roller: you are selling the near month and buying the mid month contract.
1. Calculate the fair value of the near month and mid month futures using the cost of carry equation. The fair value of the roll is the difference between fair values of the two futures.
2,3. Actual roll cost is the actual price of the roll in the market. eg. SBI Aug futures are 1800 and SBI Sep futures are 1820. So your actuall roll cost will be +20.
4. Lots of brokerages provide these figures.
5. Lengthy, no time now to explain in detail.

Dear ivanboesky,
In your earlier post on rollover thread you told that due to time constrain you are unable to explain regarding how to calculate the percentage of rollover for a particular month for a particular stock. Now if you can explain it to me in detail.


with regards,


learningcurve