Swaps/Rollover Interest in Futures???

Discussion in 'Forex' started by mmccormac, Jan 13, 2007.

  1. "Who is your broker? Do they post their interest earned/expense rates on their website? To their credit, IB presents everything quite clearly. Very few other brokers follow such an example unfortunately. Even if your broker offered IB's rates, that's ~150BP (over the true IRD) that you're paying to them for your spot trades."

    I have my funds split between 5 accounts and they all offer different Swap rates. On my USD/CHF longs I make around $100 per day on 1m (3,000/mo). On my GBP/JPY longs I make around $220 per day on 1m (6,600/mo). I also use a hedge strategy when price is going the wrong way to keep my balance going up even when my carry trades are going down and this would not change with the Futures so that's why I'm not worried about being marked to market everyday.

    I have found a way to get any brokers swap rates if they feed data into MetaTrader and I track a few of them that way. A few of my accounts are quite annoying since like you said some don't post the rates. Funny you mention IB as many of the ECN's totally kill you on Swap even though they are "direct interbank". Thanks for you're help!
     
    #11     Jan 13, 2007
  2. 1.
    While currency futures offer better implied IRD and certain other benefits compared to cash forex (spot), the short answer to your question "Is there a way to rollover a contract without taking profit/taking a loss?" is NO.

    2.
    I'm not sure if you're clear on this point yet... No, it doesn't work that way in futures. If your position is showing a floating, unrealized loss and the contract is about to expire, you have no choice but to realize that loss. If you do nothing, the loss will be realized for you.

    3. Before you invest any time or effort in this, have you looked at futures liquidity in the pairs you hold? You should. Pound-Yen cross has virtually no liquidity, on a good day.

    4. Take a look at this thread for a comparison of spot v. futures IRD at IB and a discussion of a few related issues.
     
    #12     Jan 14, 2007
  3. cvds16

    cvds16

    trader KGB gave a perfect explanation on how intrest and forex futures work, so yes you have been cheated on your swap rates in the case a futuresmarket with decent volume existed. eur/usd, gbp/usd, chf/usd and jpy/usd are the four main forexfutures where i'm sure enough liquidity exists. There might be more where you could get decent prices, but i'm not too sure about that. I do however not agree with the last poster about the taking of profit and loss, you take it everyday like trader KGB explained. Your net result everyday is the sum of the way the market moved and the intrest you received or payed. At rollover the futuresprice with intrest has converged to spot price. Rollover is just a way to end the paying of intrests and start allover again with a new expiration date three months further.
     
    #13     Jan 14, 2007
  4. cvds16, both quarterly rollover and daily MTM (mark to market) are two sides of the same coin; both are futures deal-breakers for the OP. You do see that, right? Just so we don't accidentally miss the forest for the trees.

    GBP/JPY is one of the specific pairs he is working with. Another deal-breaker, due to daily volume which would make Lumber look like a paragon of liquidity.

    Other than those "minor details", I showed in excruciating detail (I hope), nearly a year ago, that futures give you a much better deal on IRD than spot, at least at one major broker offering both.
     
    #14     Jan 14, 2007
  5. Thanks for you're help. With my trading style there is a major advantage to the Spot markets, so for my carry trades it looks like I will not change what I'm doing. For my short term EUR trades I may trade the EUROFX as the liquidity looks ok most of the time.

    For most traders the futures markets are the best option due to the security of funds, but for traders like myself there is a major advantage to trading SpotFX. I get paid a decent swap right now but I believe there are large banks that will pay the true amount due on LIBOR/LIBID interest rates.

    "at least at one major broker offering both" - Who do you recommend for security of funds and for true swap payout?

    Thanks everyone!
     
    #15     Jan 14, 2007