Nifty Futures Rollover Strategies

Authors

  •   Ronald T. Slivka Adjunct Professor, Department of Finance and Risk Engineering, New York University – Tandon School of Engineering, 12 Metrotech Center, 26th Fl., Brooklyn, NY 11201
  •   Jie Yang MSc Student – Financial Engineering, Department of Finance and Risk Engineering, New York University - Tandon School of Engineering, 12 Metrotech Center, 26th Fl., Brooklyn, NY 11201
  •   Weiyu Wan MSc Student – Financial Engineering, Department of Finance and Risk Engineering, New York University - Tandon School of Engineering, 12 Metrotech Center, 26th Fl., Brooklyn, NY 11201

DOI:

https://doi.org/10.17010/ijf/2017/v11i7/116563

Keywords:

Rollover Strategy

, Calendar Spreads, Stock Index Futures, Nifty Futures

G10

, G11, G13, G14, G15

Paper Submission Date

, May 17, 2017, Paper sent back for Revision, June 6, Paper Acceptance Date, June 19, 2017.

Abstract

As expiration dates for Nifty stock index futures approach, trading volume in calendar spreads rises at times to over 50% of the total daily volume, making this transaction particularly important to execute efficiently for investors rolling over sizable positions into deferred month contracts. In this study, futures data covering 12 recent Nifty futures expirations was used for rollover strategy construction, analysis, and testing. We reported here on the comparison of findings for three different strategies: optimally rolling an amount that minimized average calendar spread volatility subject to practical trading constraints, rolling an equal number of Nifty futures daily, and rolling all contracts on a single day. We found, in all cases, that the optimal strategy outperformed the other two commonly employed rollover strategies. Practical guidelines for rolling Nifty futures positions were also discussed.

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Published

2017-07-01

How to Cite

Slivka, R. T., Yang, J., & Wan, W. (2017). Nifty Futures Rollover Strategies. Indian Journal of Finance, 11(7), 7–21. https://doi.org/10.17010/ijf/2017/v11i7/116563

Issue

Volume 11, Issue 7, July 2017

Section

Articles
Crossref
Scopus
Google Scholar
Europe PMC

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