Enhancement #1
Added a function to create generic tabs using the generic future rolls and included a quick refresher on analyzing the calendar roll
Refresher: How to analyze the Calendar Roll
To create roll strategies, there are two methods:
Click on “New” – Spread of Spread Trade Creator: Enter the futures manually
Click “Tabs” to Create Standard Tabs: Automatically creates the strategy roll from the preselected list.
To determine whether the calendar roll is rich or cheap, first, we must forward the CTDs of each future to the same forward date, which would be the back contract's delivery date.
Back Contract’s Forward Price = Future Px * Conversion Factor
Front Contract’s Forward Price = (1) Future Px * Conversion Factor, to the front future delivery date. (2) Use the Future Implied Fwd Px and use the Fwd Repo to fwd to the back contract’s delivery date
Once both contracts are aligned at the back contract delivery date, we can calculate the forward spreads and compare them to the spot spreads to evaluate the roll.
On row 14, R/C ASW Z shows the spread between the Spot ASW Z and the Forward ASW Z at the back future delivery date. A negative R/C ASW Z shows the Fwd ASW Z is Richer than the spot ASW Z, which in turn indicates that the roll is too cheap which enables RiskVal to calculate the Theoretical Breakeven Cal Roll (row 15). The Theo B/E Cal Roll is the calendar roll that sets the R/C ASW Z = 0.
Enhancement #2
Allow traders to create Calendar Rolls of the previous active cycle, ie- Z9-H0, when the active cycle is H0-M0
In previous releases, the Calendar ASW, did not allow traders to create strategies with the future that has just rolled off. In some cases, these futures are still being traded, so the feature to allow traders to create strategies with the futures that have rolled off.
