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(corn, sugar, coffee, currencies, US, Aust, and Euro interest rates) there
are about 40 that I'm looking at. I think I found out what my problem was.
I was rolling close to open as opposed to close to close....
vince
In a message dated 8/29/99 8:39:30 AM Central Daylight Time,
adam_hardy3@xxxxxxxxxx writes:
<< I think it depends on the contract you are looking at. I have seen some
contracts where your solution would not be possible because the incoming
contract only gains higher volume & OI on the last two days before expiry of
the spot contract.
Also worth looking at is the volatility of the expiring contract - sometimes
the expiring contract shows increased volatility in its last days that
doesn't appear in the new contract - I'd want to be in the new contract if
the expiring one is leaping around a lot.
I think it's easiest to judge on high volume contracts.
What futures are you looking at?
Adam >>
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