Did you receive an email from our trade desk about futures first-notice or an upcoming futures expiration for your outright futures contract? Well, if you did or are just looking to extend the duration of your position, then look no further than the Roll Futures function built in the Positions tab of the desktop trading platform.
At this time, the Roll Futures function is only available on the tastytrade desktop trading platform. However, you can still adjust working futures rolling orders can on the web browser and mobile trading platforms, but the order must initiate on the desktop platform.
- A note about Futures Price Marks when Rolling
- How to set up a Future Rolling Order
- How to replace a Futures Rolling Order
- How to cancel a Futures Rolling Order
A note about Futures Price Marks when Rolling
Different Tick Sizes
The first thing to keep in mind when performing a rolling outright futures rolling order is that outright futures spreads may have different tick sizes. That is because rolling an outright futures order is technically a calendar spread, which may trade in a different tick size than what you're used to.
For example, we all know that /ES trades in quarter (0.25) tick increments, but when performing a roll, they tick and trade in nickel (0.05) increments. When you line up a futures rolling order, the appropriate tick increments will display, so there's no need to remember each contract's tick size increment. For specific contract specifications and tick sizes, please visit the contract specs of each contract at the CME.
CME may mark positions away from the market when a rolling order fills
One thing to keep in mind about rolling an outright futures positions is how the CME will mark the price of each outright futures contract after a rolling order fills.
Since the CME views an outright futures rolling order as a calendar spread, filled orders are subject to Single Line Entry of Differential Spreads (SLEDS). Consequently, any filled futures rolling order may potentially result in a significant shift to your P/L due to the way the CME marks each leg. If you experience any large changes in your P/L, then it is not a display issue. Instead, it is how the CME marks each outright future leg in a calendar spread.
In short, after a rolling order fills the CME will mark the front-month contract (anchor leg), based on the contract's previous day settlement price. The back-month contract (non-anchor leg) will mark based on the difference of the net debit or net credit amount within the day's trading range after the order fills.
Leg Price Assignment Formula and Example
The CME uses the following formula to calculate the marks of each contract when performing a roll. The anchor leg is typically fixed and based on the contract's previous day settlement price. However, the price assigned to the non-anchor leg is dependent on the overall net debit or net credit price after the rolling order fills.
Non-Anchor Leg = Anchor Leg - Spread Price
For example, let's say you were rolling an /ES from H0 (March 2020) to M0 (June 2020).
/ESH0 (Anchor Leg)
- Spot Price: 2810
- Prior Day's Settlement Price: 2800 (10 points away from the spot price)
/ESM0 (Non-Anchor Leg)
- Spot Price: 2815
- Day's Trading Range: 2780 to 2820
Rolling for a 10.00 Credit or a 10.00 Debit
- /ESH0 Price Assignment = 2800 (/ESH0) - 10 (credit/debit)
- /ESM0 Price Assignment = 2790 (25 points away from the spot price and within the day's trading range)
As you may notice, the prices marked for the /ESH0 contract and /ESM0 contract are away from the current spot price. As a result, you may see a distorted P/L figure from closing the front-month contract and opening the back-month contract. Alternatively, you can avoid CME's method of pricing calendar spreads and view a cleaner P/L number by performing your rolling trade in TWO separate orders.
To view the CME's technical explanation of how outright futures legs are marked when filling a rolling (calendar) order, please click here.
How to Set Up a Futures Rolling Order
Locate the Futures Contract, right-click, and select Roll Futures
To line up an outright futures rolling order, locate the futures contract in the Positions tab. After finding the futures position you would like to roll, right-click on the contract, and select Roll Futures, as illustrated below.
Locating the futures position in the Positions tab
The Roll Futures function will set up an order to roll the futures contract to the next trading cycle. Within the Roll Futures menu, you can see which account you are preforming the roll in, adjust your quantity, view the spread, as well as see the net credit or debit from the rolling order. To route the rolling order, click Review & Send.
enlarged view of Roll Futures
Lastly, take a moment to view the details of your rolling order before sending it.
enlarged view of Roll Futures order
How to replace a Futures Rolling Order
Replacing a working futures rolling order is similar to replacing any other working order. To get started, locate the working order. For this example, we'll view the working order in the Activity tab.
After locating your working futures rolling order, right-click, and place your cursor on Replace Futures Roll. The working order will appear immediately to the right of, similar to when you initially set up your rolling futures order. Here, you may re-enter your rolling price and re-send it.
Location of Replace Futures Roll and the price field for order adjustments
How to cancel a Futures Rolling Order
Canceling a working futures rolling order is similar to canceling any other working order. Again, to get started, locate the working order. We'll view our working order in the Activity tab. After locating your working futures rolling order, right-click, and select Cancel Order. After clicking, the working order will cancel.
Location of Cancel Order for a Working Rolling Futures Order