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The Eurodollar Futures and Options Handbook by Galen Burghardt

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CHAPTER 15Opportunities in the S&P 500 Calendar Roll

Galen Burghardt and George PanosResearch note originally released June 7, 1999

SYNOPSIS

Anyone who uses S&P 500 futures to maintain a standing long or short position in the equity market must face the problem of when to roll out of the expiring contract month and into a deferred contract month. If futures were always fairly priced, the roll would hardly be an issue. As it is, however, the evidence suggests that one can improve a portfolio’s performance by choosing the best time to do the roll.

Exhibit 15.1 shows three measures of the value of the spread—the spread itself, the actual spread less the theoretical spread, and the implied financing rate less the lead Eurodollar rate—against business ...

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