question about open intrest in index futres and rollover

Discussion in 'Index Futures' started by idim, Sep 19, 2003.

  1. idim

    idim

    Can somebody clarify for me one issue? Why there are so big open interest in index futures that is still open? (and it is quite usual situation.) As of yesterday there was 348469 open contracts in s&p e-mini. today, when the market opens, they will expire. are all this open contracts hedged through stocks or I am missing something?
    and, by the way, when somebody simaltaneously long in big S&P and short in e-mini (or the opposite), is it shown in the open interest? Or this kind of positions are settled at the end of the day, and thus no open interest is created. I did not find the any information on cme.com site.
     
  2. vega

    vega

    I don't think that the e-mini vs pit contract open interest automatically cancel each other out at the end of day. You will find that a ton of the open interest is arbed by groups using both the big contact and the e-mini depending on which offers the best price at that point in time. Also keep in mind that a lot of that will be related to options expiration at the CBOE where the SEP options expire and settle to the same price as the big future. So there will be a lot of locals at the CBOE that are synthetically long futures thru options positions in SEP and short the SEP futures.

    Vega:D