Way to not have to roll futures, but buy the "spread"?

Discussion in 'Index Futures' started by Saltynuts, Jun 14, 2018.

  1. Saltynuts

    Saltynuts

    This goes aways back so I did not want to bring up the old thread, but FSU said in a prior thread:

    No, there is a market quoted for the VIX futures time spreads. You actually buy or sell the time spread, not simply leg the two sides. For example the symbol in Redi is VXK8-VXM8, this is the May/June time spread. The current quote is .08/.09. Another advantage is the price is quoted in pennies, so you will give up less slippage compared to legging the individual sides which have a minimum tick in nickels.

    I called Interactive Borkers, the buy was not familiar with this, and he said I would have to close the old futures and open the new ones. He had never heard of this or redi.

    Is there really some way to not have to roll the contracts, or essentially roll them automoatically, paying some amount so that you don't get screwed by some freak pop in prices when you roll them?

    Thanks!
     
  2. 2rosy

    2rosy

    if you are long K and you want to close K and buy M then you trade k-m spread as you posted. Leaving you long M. This is used all the time in options or any curve trading
     
    tommcginnis likes this.
  3. Saltynuts

    Saltynuts

    OK, more specifically I am rolling longs on VIX futures. On June 20 (at the expiration of the June 20 VIX futures) I want to roll them into the July 18 futures. How would i do that other than just selling one right before expiration and buying the other, or waiting to buy the other a split second after explanation? Is there a specific symbol or product description I can look at to see how these work?

    Thanks!
     
  4. u are long VXM

    go to spreadtrader on IB and "buy" " june jul" review the order..u will be selling june vx (your long) and buying jul

    a buy order of the spread shorts the front future, and buys the back future. u are then long the spread because you want it to rise in value.

    in your case u will just sell ur june long and buy a july from inventory of your book.

    i'd wait until market hours.
     
  5. ryker

    ryker

    That's correct, that's how all the funds roll their positions, i.e. by buying/selling the spread depending on their position.
     
  6. Saltynuts

    Saltynuts

    OK gents, I think I understand, see if this is more/less correct:

    Go to spreadtrader in IB.

    Essentially click on my June 20 Futures. Let's say I have 10 I want to roll.

    Now it comes up with a spread price versus I believe all the futures I can spread against on the left. Out to the right it has the prices.

    So I see the July 18 futures and the bid/ask is .99/1.00. So would I buy 10 of these? And so I do buy the spread, will it automatically sell 10 of my June 20 futures and buy 10 July 18 futures? Not need to buy and sell those separately correct?

    Is the spread I'm paying more or less the current market spread between the contracts? This would just make it easier and quicker to implement? I guess when one does this they are crossing the bid-ask spreads on both sides (so if one did it manually over the course of a day or what not and never cross the spread they might get better pricing)? Actually maybe the .99/1.00 pricing above is really whether the big-ask spread would be crossed, and it would seem a very small spread in this case!!!

    Thanks so much!
     
  7. FSU

    FSU

    Too add,

    Some brokers do not allow you to access the actual spread market, when you enter a futures spread they simply hit the bid on one month and take the offer on the other month. But, there is an actual spread market where there is no risk, you will buy and sell as a package. You will know you have access to this if you are seeing spread quotes in pennies. Not sure the case with IB.

    Redi is broker neutral trading platform that was originally designed by Goldman but now is standalone and can be used with multiple brokers.
     

  8. u have IB , open spread trade, type in vix, futures combos , not options. (i left IB in 2014, but traded 1000's of spreads there, now @ Wedbush)

    click on the june 20/July SPREAD

    buy the amount of spreads u have of VXM (june futures), this will sell ur june's and at the exchange level BUY july..all in one transaction

    its currently 97/99. thats the fastest way to roll. so yes, you buy 10..i would buy 1 first to see that u are getting the desired results.
     
  9. Saltynuts

    Saltynuts

    Thank you all your kind sirs! sellindevol66, I think that finally put me over the top and able to figure it out. The bid/offer is like .97 and .99, so I take its the "good one" FSU you are referring to. And thanks so much again FSU for telling me about these! Life just got a little bit better. :)

    Couple more quick questions:

    Are these spread offered products separate and apart from the actual difference in prices the different month contracts might be trading for, so theoretically there could be some price advantage or disadvantage of going the spread route or not (although I would guess that is arbed away pretty good).

    Has anyone ever done any testing, or have any thoughts, if its better to roll somewhat before the expiration and buy the new month a little early, as oppose to just let it expire first thing the next morning and that same second buy the new ones?

    THanks!
     
  10. cvds16

    cvds16

    one piece of advise: don't wait to roll till the last day but do this some days before.
     
    #10     Jun 16, 2018