指数期货差价合约展期考量
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对于跟踪$SPX和$NDX等指数的连续差价合约，大家对有效的展期机制有什么看法？有些券商会根据资金成本和股息等值调整头寸，有些可能会自动平仓/开仓。这在临近到期时波动性飙升的情况下尤为重要。大家最近是否更严格地考虑掉期费用了？
3 comments · 12 points
GVu/giulia_vermeulen·18d
I've definitely noticed the discrepancies between brokers on this. My current broker adjusts for funding and dividends, which I prefer. The auto-close/reopen sounds like a nightmare for tax purposes and potential slippage during volatile periods.
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