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Not so Concerned about 2020.....but 2021.......
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mn_feeder
Posted 6/24/2020 13:23 (#8333659 - in reply to #8333649)
Subject: RE: Not so Concerned about 2020.....but 2021.......


MN
When you roll CZ to CN @ 30 cents. That means you gain the spread between the two short positions.

So you add the 30 cents on to your CZ short position to have your value for the CN short position.

Selling the carry.

Illustrated (made up numbers):

initiate position in CZ0 @ 3.70

hold until the "carry" is 30 cents. lets say on the day you choose to roll CZ0 is trading @ 3.60 then CN1 would be @ 3.90. So you buy back your CZ0 (10 cent profit) and sell CN1 @ 3.90. In your account you have an open position in CN1 @ 3.90 and profit from the other trade of 10 cents to equal $4.00

another example

initiate position in CZ0 @ 3.70

hold until the "carry" is 30 cents. lets say on the day you choose to roll CZ0 is trading @ 3.80 then CN1 would be 4.10. So you buy back your CZ0 (10 cent loss) and sell CN1 @ 4.10. In your account you have an open position in CN1 @ 4.10 and a loss from the other trade of 10 cents to equal $4.00
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