Roll, from Zubin Al Genubi

July 20, 2019 |

The May trade during the drop showed some interesting anomalies in execution. As the market dropped I decided that I would buy some Sept futures instead of the current June as I didn't know how long I would be stuck in the trade. Normally in a rapidly dropping market you can buy at bid, and that is great until the market drops another 50 or a hundred points through your fill. Some of the drops were some of the biggest. The September contract was still quite thin over a couple weeks before roll, and I was getting filled .5 below last which is pretty unusual now days, but worth noting. Then, I think it was a bit before roll day when the market started really shooting up, so I was letting out some September inventory and was getting filled at or occasionally .5 above last execution. You see that sometimes in fast markets also with crazy air drop fills, but I think that is just the result of delay in the data feed to the computer vs actual fills at the exchange. My impression of this last drop is that it was a fairly orderly drop, just steady drop. Maybe that is the computers doing their controlled selling in their mechanical way.

Roll is an odd period when everyone is forced to roll into the new contract creating an artificial market situation, and added to a rocket up market. I am not exactly sure why conventional roll date is 8 days before expiration, or why that is a convention for trading. It doesn't make sense to me, and my point is that it is a disadvantage to mechanically roll on the same day everyone else does. CME website says to you can roll whenever you want. Seems like waiting till you are forced to make a move when you may not want to make a move limits your options. I'm sure some market makers make money as the salmon come along.


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