Goldman roll

Discussion in 'Commodity Futures' started by timdug, Nov 18, 2017.

  1. timdug

    timdug

  2. truetype

    truetype

    Used to work. Note carefully the dates in the Wiki article.
     
  3. ryker

    ryker

    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: Nov 18, 2017
  4. truetype

    truetype

    Which is why it's not longer profitable!
     
    ryker likes this.
  5. ryker

    ryker

    Precisely.
     
  6. timdug

    timdug

    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.