Rolling a contract is an investment concept meaning trading out of a contract and then buying the contract with next longest maturity, so as to maintain a position with constant maturity.
One may roll a contract because one has a special preference for a specific maturity—for example, the five-year CDS rate of a given name—or because a given on-the-run security is more liquid than off-the-run securities.
Examplesedit
While holding US Treasuries, one may wish to hold only the most recently issued security of a given maturity, the so-called on-the-run security. Thus, if one has purchased the on-the-run 30-year treasury and a new 30-year auction occurs, one may sell the old treasury, which is now off-the-run, and purchase the new on-the-run treasury.
There is generally very high trading activity on these dates, as contracts whose maturity falls on them are rolled.
Index roll congestionedit
When an index has a published policy for rolling its contracts, such as on a given day or over a given period, a trading strategy is to roll in advance of the index, in anticipation of its trading volume. This is referred to as index roll congestion.
rolling, finance, rolling, contract, investment, concept, meaning, trading, contract, then, buying, contract, with, next, longest, maturity, maintain, position, with, constant, maturity, contents, motivation, examples, index, roll, congestion, also, references. Rolling a contract is an investment concept meaning trading out of a contract and then buying the contract with next longest maturity so as to maintain a position with constant maturity Contents 1 Motivation 2 Examples 3 Index roll congestion 4 See also 5 ReferencesMotivation editOne may roll a contract because one has a special preference for a specific maturity for example the five year CDS rate of a given name or because a given on the run security is more liquid than off the run securities Examples editWhile holding US Treasuries one may wish to hold only the most recently issued security of a given maturity the so called on the run security Thus if one has purchased the on the run 30 year treasury and a new 30 year auction occurs one may sell the old treasury which is now off the run and purchase the new on the run treasury There is generally very high trading activity on these dates as contracts whose maturity falls on them are rolled Index roll congestion editWhen an index has a published policy for rolling its contracts such as on a given day or over a given period a trading strategy is to roll in advance of the index in anticipation of its trading volume This is referred to as index roll congestion See also editJelly roll options Rollover foreign exchange References edit nbsp This finance related article is a stub You can help Wikipedia by expanding it vte Retrieved from https en wikipedia org w index php title Rolling finance amp oldid 1191372803, wikipedia, wiki, book, books, library,
