Thanks cvds16. FSU mentioned rolling a few days earlier in another thread as well. I understand the theory is that buyers/sellers will know you have to roll and thus will offer less on the expiring June contracts and charge more for the July contracts. But I would have thought that would have been arbitraged away otherwise it would be a pretty inefficient market no? Plus, when the June 2018 futures stop trading on June 20th at 8:00 central, and payout is determined, at that point you can just buy the July futures, so at least you would get around having to sell the June futures with very little time when you are not covered? Thanks!
salty, its always nice to see someone looking at these...but take it from someone who has traded them for 10 yrs and nothing else for a living..these are non intuitive and really require you to study via being all in imo. i still make lots of errors; but when u trade well its some reward. best advice is watch, record pricing, look at how they (all spreads in the curve) react on vol moves up and down.