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INDEX FUTURES ROLLOVERS EXPLAINED

Axi’s Index contracts are based on the relevant futures exchange price. Futures contracts expire because they are related to a definitive date. There are many months traded and the forward prices can be higher or lower depending on market conditions.

In order to remove final day volatility, at Axi we switch from using the front month contract into the second month’s contract one trading day prior to the exchange expiry.

An example of this is when the Australian SPI contract for March expires. The June price needs to be used and the price on the Axi MT4 platform may increase or decrease depending on the value of the June contract relative to the March contract. This is obviously not a price rise or fall in the SPI but just a move to a new reference price, therefore no profit or loss will be incurred as a result.

In order to ensure this does not affect our clients, a cash adjustment needs to be made. This is explained in the following examples:

SPI March closes at 5050/5051 and SPI June opens at 5000/5001

Your Position: 10 Buy contracts

If your position is a Buy, it closes on the old Bid price of 5050 and reopens on the new Ask price of 5001. Because you are in a Buy and the new market price has decreased, your open trade P&L has made a loss. As a result you will receive a positive adjustment amount in your swap column equal to the difference of the old bid and the new ask.

You will receive (5050-5001)*10 contracts = $490AUD

Your Position: 10 Sell contracts

If your position is a Sell, it closes on the old Ask price of 5051 and reopens on the new Bid price of 5000. Because you are in a Sell and the new market price has decreased, your open trade P&L has made a gain. As a result you will receive a negative adjustment amount in your swap column equal to the difference of the old ask and the new bid.

You will receive (5051-5000)*10 contracts = -$510AUD

  • Accounts will be cash adjusted on positions held at the following times:
  • HSI Future – Close of business on the day 3rd to last business day of the contract month.
  • CAC40 Future – Close of business on the day before the 3rd Friday of expiry month.
  • DAX30 Future – Close of business on the day before the 3rd Friday of expiry month.
  • S&P Future – Close of business on the Wednesday the week before the 3rd Friday of expiry month.
  • FT100 Future – Close of business on the day before the 3rd Friday of expiry month.
  • DJ30 Future – Close of business on the Wednesday the week before the 3rd Friday of expiry month.
  • SPI200 Future – Close of business one day before the 3rd Thursday of expiry month.
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