passive roll for EURIBOR without a position #596
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Hi While doing my rolling, I am looking at Mr. Carver's reports - incredibly helpful to be able to see his reports by the way - and I noticed that Just curious about why such a roll is applied to a roll where no position exists. What is the difference from the roll adjusted option? (I have read the documentation about passive, but my understanding is that it applies to situations where you have a position in an instrument, and want to roll over the position to the forward contract). |
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Replies: 1 comment 1 reply
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You're right there is no reason for a passive roll when I have no position. If there is enough volume in the forward contract it should be rolled into the next contract properly. If not, then it should remain as no rolling. Passive only makes sense when there is a position to try and close the contract naturally. User error. |
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Had to ask to make sure I had not Just missed anything. Thank you for the answer Mr. Carver. |
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You're right there is no reason for a passive roll when I have no position. If there is enough volume in the forward contract it should be rolled into the next contract properly. If not, then it should remain as no rolling. Passive only makes sense when there is a position to try and close the contract naturally.
User error.