Roll Question

Discussion in 'Index Futures' started by banana, Mar 17, 2006.

  1. banana


    Yesterday I bought 5 x March 05 Dax Contracts at 5882.5

    I know they rolled today but does anyone know what price I would have got for them in the June contract and how I find out that information. i.e. what price am I long the June contract?
  2. Determine the closing price(s) for the last day(s) both March & June traded. Thencalculate the differential/average differential and extrapolate from their
  3. jerryz


    As you all know, the March contract expired on Friday. Below are Friday's prices for the March and June contract. I got these from the Eurex website.
    March     June
    5,926     5,932     (last traded)
    5,925.39  5,915.5   (daily settlement)
    5,882.38            (cash index)
    1) When you back adjust the March contract, do you use the last traded price or the daily settlement price?

    2) Why is the last traded for June > March, but the daily settlement for June < March?

    3) Why isn't the March daily settlement price on the day of expiration the same as the cash index?