There are symbols (such as USOIL, DJI30, NDX100, and SPX500) which fair price relate to the futures contract price. In order to maintain continuous trading the underlying futures contract changes prior to its expiration from the expiring contract to the next month's/quarter's contract (so-called futures contracts rollover). The rollover dates for such symbols are predetermined and summarized in the table below.
| Symbol/date | August | September | October | November | December |
|
DJI30 |
- |
11 |
- |
- |
11 |
|
NDX100 |
- |
11 |
- |
- |
11 |
|
SPX500 |
- |
11 |
- |
- |
11 |
|
USOIL |
14 |
11 |
9 |
13 |
11 |
The difference between 2 futures contracts is reflected in the position's swap points and debited or credited on the rollover date.
The idea of futures contracts rollover is to maintain continuous trading with a neutral impact on the trading account valuation (i.e. the amount debited in swaps offset by better than the pre-rollover open price due to the new underlying futures contract OR the amount credited in swaps offset by worse than the pre-rollover open price due to the new underlying futures contract).
Example
The last price of the USOIL expiring contract on August 12th is 91.88. The price of the next month's USOIL futures contract on August 12th is 91.27.
At the rollover date (August 14th), the buy position of 1 USOIL is credited 610 USD (the difference between futures contracts multiplied by the symbol's contract size). At the same time, the sell position of 1 USOIL is debited 610 USD.
Pro tip
Anticipate equity adjustment stemming from futures contracts rollover and maintain sufficient funds on your account at the rollover date. The timing mismatch between rollover difference debit operation and the market open with fair price reflecting new futures contract price may cause your margin level to drop below 50%.