Does buying the next month 25 points above the old exit automatically realize a 25-point loss?
Reveal the worked answer
No.
Calculate each contract's own entry-to-exit P/L.
Equity Index Futures · FUT-17 · Core
Rolling a futures position
Why can a new contract quote differ without creating an immediate loss?
What you will learn and prerequisites
- Explain the mechanism in the lesson question.
- Reproduce the worked comparison and recognize its failure case.
Read first: What is an equity index future?
A roll closes exposure in one contract month and establishes it in another. The two quotes differ because they refer to different maturities and carry. Their level gap is not automatically a gain or loss.
Record the actual old and new transactions rather than treating a continuous chart as the account ledger.
Understand the mechanism
A long roll often sells the near contract and buys the next, possibly through a calendar-spread order. Liquidity can migrate before expiry. The old position's realized P/L uses its own entry and exit; the new one starts from its own entry.
Roll timing depends on liquidity, expiry obligations and the user's objective rather than one universal date.
Walk through the process
Check both symbols, prices and fees. Preserve the historical fills. Assess the new basis and remaining horizon. Do not leave a dated contract unattended because the display silently switched months.
A smooth chart adjustment is not a transaction and cannot create cash profit.
Operational boundary
All figures are fictional teaching inputs, not current quotes or margin schedules. Product rules, broker requirements and usable liquidity remain separate from the model example. A planned exit and an algebraic hedge are not execution guarantees.
A worked example
A fictional near contract was bought at 4,980 and sold at 5,000, earning 20 points or 1,000 at a 50 multiplier. The next month is bought at 5,025 and later sold at 5,030, adding 250.
Combined gross trading P/L is 1,250. The 25-point roll gap was not a separate 1,250 loss; it was a difference between dated contracts. Fees and broader hedge economics remain separate.
Rolling a futures position—worked comparison
Vertical: Actual contract quote
Horizontal: Near entry / near exit / next entry / next exit
1. Fictional example
Read the graph as a data table
| Near entry / near exit / next entry / next exit | Fictional example |
|---|---|
| 1 | 4,980 |
| 2 | 5,000 |
| 3 | 5,025 |
| 4 | 5,030 |
What would invalidate the reading?
Comparing entry in one month with exit in another without accounting for the roll confuses basis with trading performance.
Check your understanding
Try the question before revealing its answer. These are reading checks, not trading certification or a site completion record.
What is the critical failure to avoid?
Reveal the worked answer
Comparing entry in one month with exit in another without accounting for the roll confuses basis with trading performance.
Explain this risk before treating the example as a decision rule. A correct calculation does not guarantee a favorable market outcome.
Return to the question: Why can a new contract quote differ without creating an immediate loss? State the observed facts, the assumptions and the failure condition separately.
Sources, assumptions and downloadable script
External references support definitions and conventions. Worked scenarios and prose are original. No current quotes or dealer inventory are claimed.
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