Rolling Over Equity Futures: A Study in Four Countries

NYU Tandon School of Engineering, Dept. of Finance and Risk Engineering, 2017

24 Pages Posted: 29 Jan 2020

See all articles by Ronald T. Slivka

Ronald T. Slivka

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

Han Qin

NYU Tandon School of Engineering

Kai Ye

NYU Tandon School of Engineering

Date Written: May 8, 2017

Abstract

Near futures expiration days, market participants have a practical need to rollover positions to expirations at a later date. The most common form of market order for rolling over contracts is the calendar spread which dominates transaction volume. Despite this dominance, futures rollovers have been little studied in both developed and developing markets.

In this paper, daily 2016 intra-market stock index futures calendar spread data for the US, UK, India and China markets formed the basis for comparing two commonly employed rollover strategies. These practitioner strategies were compared with newly devised optimal strategies based upon maximizing spread liquidity or minimizing volatility. For large positions, an optimal strategy consistently outperformed standard practitioner strategies in all four markets. For smaller initial futures positions no performance differences between strategies were expected or found. Practical guidelines for rolling futures positions and further research directions are discussed.

Keywords: Calendar Spreads, Stock Index Futures, Roll Yield, FTSE 100, S&P 500, Nifty, A 50, S&P 500 futures, FTSE 100 futures, China futures, Rollover Strategy

JEL Classification: G10, G11, G13, G14, G15

Suggested Citation

Slivka, Ronald T. and Qin, Han and Ye, Kai, Rolling Over Equity Futures: A Study in Four Countries (May 8, 2017). NYU Tandon School of Engineering, Dept. of Finance and Risk Engineering, 2017. Available at SSRN: https://ssrn.com/abstract=3514204 or http://dx.doi.org/10.2139/ssrn.3514204

Ronald T. Slivka (Contact Author)

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering ( email )

Brooklyn, NY 11201
United States
2153213524 (Phone)

Han Qin

NYU Tandon School of Engineering ( email )

Brooklyn, NY 11201
United States

Kai Ye

NYU Tandon School of Engineering ( email )

Brooklyn, NY 11201
United States

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