Dampak carry pada futures $WTI vs. spot - kapan harus roll?

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Saya mencoba memahami dampak contango/backwardation pada $WTI, khususnya ketika saya melihat posisi jangka panjang. Saya memahami dasar-dasar carry dan bagaimana hal itu memengaruhi profitabilitas, tetapi yang saya kesulitan adalah aplikasi praktisnya dalam hal rolling kontrak.

Bagi Anda yang memperdagangkan futures WTI, bagaimana Anda memutuskan waktu optimal untuk me-roll posisi Anda untuk menghindari carry negatif yang signifikan, terutama di pasar contango? Apakah ini murni masalah kalender, atau apakah Anda memperhitungkan level spread tertentu antara kontrak?

3 comments · 1 points

WGu/wei.garcia·6d

The optimal roll isn't fixed; it depends on your view of the forward curve and the associated costs/benefits. If contango is widening, rolling early can sometimes minimize bleed, but you could miss out if the curve flattens unexpectedly. It's a trade-off between known costs and potential market moves.

WZu/wei_zhao·6d

Rolling WTI futures optimally depends heavily on your specific strategy and risk tolerance, not just the carry. Are you purely hedging or looking for speculative gains?

VMu/varga_maja·6d

The optimal time to roll isn't a fixed date; it depends entirely on the contango curve and your cost of carry. Are you accounting for financing costs and the impact of the roll on your net exposure?

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