Is there a specific way in which institutions generally rollover there futures positions? I trade scandi index futures and don´t have COT or something similar (I think?) and I have been noticing very different delta between the expiring and forward contract during rollover week and my thinking goes that the mechanics of rollover trades combined with delta differences on the contracts may give an indication on positioning. Intuitively if I wanted to roll without legging risk I would have limit order on expiring and if that fills it would trigger market order on forward contract but maybe thats not how they do it, anybody who knows?
I held index futures as part of my options book when I traded prop at several banks. Usually players monitor the roll 10-15 days before expiration and as supply and demand impacts the spread they roll when when they deem it most favorable in terms of such spread. Technically, if the spread is exchange traded then you do not have to fiddle with separate orders, simply put in a limit at the level you want to roll and believe you have a reasonable probability of getting filled. With most non-exchange-listed rolls, some traders simply monitor the spread and roll with two market orders when they deem timely, others seem to put in a limit and contingent market order. But nowadays, I would reckon many professional platforms (Orc, ...) to have an auto-roll feature where a trader can specify at which spread he wants to roll and the platform would monitor the spread for you and submit orders on your behalf.