# Rolling a futures position

**FUT-17 · Equity Index Futures · Core**

**Lesson question:** Why can a new contract quote differ without creating an immediate loss?

Original fictional examples; educational writing, not live market data, orders or production approval.

## By the end

- Explain the mechanism in the lesson question.
- Reproduce the worked comparison and recognize its failure case.

**Prerequisites:** FUT-01

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.

## Graph: Rolling a futures position—worked comparison

**Horizontal:** Near entry / near exit / next entry / next exit  
**Vertical:** Actual contract quote

Fictional data from the written example. The chart organizes the comparison; its shape is not a forecast.

Complete numerical data are embedded in `scripts/equity-futures/FUT-17.js` and displayed as an accessible table in the HTML lesson.

## 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

### Does buying the next month 25 points above the old exit automatically realize a 25-point loss?

**Answer:** No.

**Why:** Calculate each contract's own entry-to-exit P/L.

### What is the critical failure to avoid?

**Answer:** Comparing entry in one month with exit in another without accounting for the roll confuses basis with trading performance.

**Why:** Explain this risk before treating the example as a decision rule. A correct calculation does not guarantee a favorable market outcome. **Critical risk check.**

## Takeaway

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.

## References and provenance

The cited references support definitions and conventions. The teaching prose, tickets and numerical scenarios are original; they are not attributed as historical market observations.

- [CME Introduction to Futures](https://www.cmegroup.com/education/courses/introduction-to-futures)

- [CME Micro E-mini overview](https://www.cmegroup.com/education/courses/micro-e-mini-futures/micro-e-mini-futures-products-overview)