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How to roll over futures positions with spreads (DAX example)?
In CornèrTrader, futures spreads orders allow you to roll-over your futures expiring maturity to the next one with no legging risk, lower spread cost, often better liquidity and no spread risk.
The following example shows step-by-step how to roll over a short position in DAX futures in the downloadable CornèrTrader platform:
1) Go to "Open Positions".
2) You have a short position of 7 lots DAX® Index - Sep 2015 futures contracts that you want to roll over to December contracts:
3) Right click on the position.
4) Select "Futures Spreads Orders". The ticket will load with the correct number of lots in the most relevant spread: the contract of the position combined with the first following contract. You should always double check that you are trading the right spread.
5) Check that the number of lots is correct - in this example 7.
6) Since you are short 7 DAX - Sep 2015 contracts, you need to "buy the spread" - so switch to a buy order. Always check the side "buy" or "sell" by crossing the info in the LEGs (see point 9 below).
7) Order type: generally, to avoid the risk of poor execution prices, it's recommended that you place limit orders - which in case of the FDX contract is the only available order type, since EUREX only accept limit orders for spreads.
8) Price: the platform will suggest a passive limit price - in this example we will change it to match the quoted ask price of the spread, which means you will most likely get instant execution when buying the spread - in the below, the limit is being placed at the current ask price of -2.5.
9) Please double check in the "legs"-section of the trade ticket that you are executing the right trade - in this case: buy the FDXU5 Dax - Sep 2015 and sell the FDXZ5 Gold - Dec 2015 contract.(It is very important to double check, since some other spreads are quote the other way around). If the legs check does not match your positions, please switch side "buy" or "sell" (see point 6 above).
10) Execute the trade:
Now the roll over is executed:
11) You will get a trade confirmation for two trades - both the buy of 7 lots of Dax - Sep 2015 and the sell of 7 lots of Dax - Dec 2015.
12) In your position list you will be square in the Dax - Sep 2015 and long 10 GCV5 (December) contracts.