Margin and Contract Lifecycle · Futures Trading Guide
Rolling closes one maturity and opens another. The difference between their prices is a spread, not an instant trading profit or loss by itself.
Record two transactions
A long roll normally sells the current maturity and buys a later maturity. A short roll reverses those actions. The existing trade’s result depends on its original entry and closing price. The new contract then has its own entry basis, multiplier and future price changes. Fees, spreads and margin requirements apply to the transition.
Keep the arithmetic separate
Assume a fictional long contract with a $10 multiplier was bought at 95. It is sold at 100 while the next maturity is bought at 103. The closed leg earns $50 before costs. Opening at 103 does not immediately lose another $30 merely because the old contract quoted 100. If the new contract later falls to 100, that later movement loses $30. The combined result would then be $20 before all costs.
Understand what the curve can imply
An upward curve can create a drag for a maintained long exposure if successive contracts converge downward under otherwise unchanged conditions. A downward curve can have the opposite effect. Neither is a guaranteed return. Changes in spot prices, the curve, collateral income and trading costs all matter. A roll changes the maturity being held and therefore the exposure to these forces.
Align research with execution
A continuous chart may remove roll gaps through historical adjustments. This can help analyse trends but changes old displayed prices and may not represent a tradeable entry. Save the adjustment methodology and build profit calculations from actual contracts and fills. Choose roll rules before testing, using dates or observable activity available at the time. Do not select the most profitable roll date after reviewing the outcome.
Try it yourself
A long future with a $20 multiplier enters at 200 and rolls out at 206. The new maturity enters at 209 and later exits at 211. What is combined gross profit?
Show the worked answer
The first leg earns $120 and the second $40, for $160 before costs. The three point difference between the maturities at the roll is not an additional realised loss.
Further reading
Educational material. Prices, margins and strategy examples are hypothetical unless explicitly identified as contract specifications. They are not trade recommendations. Futures losses can exceed deposited collateral. Product terms and eligibility vary by venue and jurisdiction.
