What's the best way to roll and change positions at the same time?

Discussion in 'Index Futures' started by mizhael, May 7, 2010.

  1. Hi all,

    Let's say I am long 10 June contracts,

    and I will reduce it to long 5 July contracts the next day,

    what's the best way to do this?

    I am thinking of:

    (1) sell 10 June/July spreads
    (2) sell 5 July contracts

    vs.

    (1) sell 5 June contracts
    (2) sell 5 June/July spreads

    which approach is better? I guess the second approach, since it's smaller number of trades?

    ------------------

    Now, let's say I am long 10 June contracts,

    and I will flip it to short 5 July contracts the next day,

    what's the best way to do this?

    I am thinking of:

    (1) sell 10 June/July spreads
    (2) sell 15 July contracts

    vs.

    (1) sell 5 June contracts
    (2) sell 5 June/July spreads
    (3) sell 10 July contracts


    vs.
    (1) sell 10 June contracts
    (2) sell 5 July contracts

    ---------------------

    Looks like the 3rd approach is better?

    So the conclusion is:

    if the new month positions are of the same direction of the old month positions, we use spreads;

    if the new month positions are of the opposite direction of the old month positions, we don't use spreads, and just go direct buy/sell.

    Otherwise, it's always good to use spreads whenever possible when we roll.

    Am I understanding it correctly?

    Thanks a lot!