Reply To: Future Cascade “Rollover Conventions”

Israr Ahmed

Case is Iron Ore Futures.
The M’s trade all the way within month still the last gbd.
The Q’s and Y’s trade until the last day of the 1st month within the Q and Y.

I had lazily set the Q’s and Y’s to end on the last day of the Q, Y so needed negative deliveries for all 3, 12 months.

However setting the Q and Y correctly means that just the first month is negative.

Which funnily enough is what Rollover Conventions allows you max one negative date.

Not sure if that’s a coincidence or by design.

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