Impact of carry on $WTI futures vs. spot - when to roll?

asked by u/andrea94 · 6d · 3 answers

Been trying to wrap my head around the impact of contango/backwardation on $WTI, specifically when I'm looking at longer-term positions. I understand the basics of carry and how it affects profitability, but what I'm struggling with is the practical application when it comes to rolling contracts.

For those of you trading WTI futures, how do you decide the optimal time to roll your positions to avoid significant negative carry, especially in a contango market? Is it purely a calendar thing, or do you factor in specific spread levels between contracts?

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Top answers

  • u/wei.garcia· 1 pts· 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.

  • u/wei_zhao· 1 pts· 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?

  • u/varga_maja· 1 pts· 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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