SPX500 jumped 40 points in 1 second

This has just jumped up 40 points in 1 second. Is this correct / has it not transferred correctly?

I would have expected it to go over to the new contract?

@Penguin It’s correct - it’s the same way on Bloomberg & TradingView. US Index futures will be rolled over in the next few minutes.

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Thanks - does that mean I take that 40 point loss and then it rolls over carrying over the loss too rather than readjusting? :persevere:

@Penguin If you’re short, yes, that would be the case. :slightly_frowning_face:

Ouch that is a tough one to take for all my open positions :see_no_evil:

Is there a reason why there is such a sudden jump?
Looking at US30 that jump went straight back down and nothing on Nasdaq100.

Also it states the expiry time is 20:00 and swap time at 22:00. If this is the case, why is it done earlier now?

Do you also know any place to seee historic futures when they close, for my understanding?

@Penguin If we let it run till 20:00, it’s possible that there might not be even a single quote till then. Also, we run the risks of quoting abnormally large spreads because liquidity is slim to none.

Here’s a screenshot from the BBG terminal. This is also visible on TradingView.


What’s the best way to avoid spikes like this? Don’t trade too close to the rollover date?

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Thanks - I shall do some more reading about my mistake here then!

However on the roll over contracts, my prices on open contracts haven’t adjusted i.e. showing a sell at 3150 which is at a loss. Shouldn’t this price be adjusted to reflect the new contract as it is very confusing.

Also, are we able to change the swap over time then to make it clear? As it gives a misleading picture

Would like to learn this too. It may be easier to sell everything and re purchase on the new contract?

@Penguin There is a ton of content on the community about futures rollovers & how they’re calculated. Please, take the time to go through my examples & calculations to have a better understanding of what’s happening.

Thanks David,

Sorry not trying to be difficult just trying to understand. There was a 40 point jump in June but not the Sept contract.

Therefore I lost 40 points for my 40 contracts - £1500 I think.

However there was a rollover adjustment of 558 (55.8 I presume) which is the difference between the two.

However, what is the reason for the 40 point jump in one contact and not the Sept one, given the comment on the other thread by you? I can’t see anywhere currently about the risks of low liquidity etc.

“Even if the contracts’ prices are significantly different, you’re not in any way negatively affected. Due to the rollover adjustment, switching positions to next contract is essentially neutral.”

@Penguin That I do not know - the same question can be asked for the April Oil contract that went negative -$37, while the May one didn’t drop below $20 - if I’m not mistaken.

That one can be explained though in the sense WTI turned negative because physical deliveries happen at contract expiry.

Therefore everyone who couldn’t accept the oil due to full storage etc. had to find a way to get rid of it. Therefore it was cheaper for them to pay someone to take the contract rather than accept the delivery.

It doesn’t make sense for this :disappointed:

Yep Man! Bloomberg just burned millions of short sellers $, without any reasons.

Hello, I also lost out during this rollover. I read some of the info kindly posted by @David but I’m quite confused. It mentions that a short position when the price increases is adjusted positively (+$200) in the example shown. I had a SELL position, yet during the few seconds where the price increased to $3199 it pushed me beyond my available free cash and automatically closed? I went from everything is fine to position closed due to lack of funds in seconds?

Yeh - I have been trying to research why and cannot find any reason for the spike which is annoying as I just want to understand!

But would be great if as a rule going forward futures were transferred a week in advance @David - is this possible?

That is very unlucky.

As David mentioned, the S&P500 June futures did jump up 50 points in a second. Therefore because of that jump you would have went into a loss.

Because the jump was high (1.5%) it meant that it closed you out of your position.

It is even more unlucky because of the drop that happened when we rolled over to the September futures. You would have made up your loss and some profit.

To make sure it doesn’t happen again, you need to 1) make sure you have enough money in your account or 2) sell less contracts allowing for the swings.

In the last week it has swung a hell of a lot so getting cahsed out with a 1.5% swing could have also happened quite naturally during this week.

Agreed. With such volatile markets extra margin is definitely needed super unlucky to get hit twice with the margin call and then the position swinging into profit