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SSF Trading

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Contributor
What are the advantages/disadvantages of trading Jun09 futures to Mar09 futures ? Is there more risk involved or are the spreads more favorable?
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17 REPLIES 17
Super Contributor
Depends on the length of your trade. I do very short term at the moment, days, so March is what I use. If you're planning to hold longer buy June, saves on rollover costs.
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Not applicable
Shouldnt make a difference either way, coz if you holding onto a futures position for longer than a week, you'd be holding on for 4 days too long. But thats just my opnion.
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Not applicable
That would make you a day trader. Extremely difficult to day trade with SSF's. The spread and transaction costs will kill you. I use them for weekly or monthy setups
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Contributor
I also use the SSF's within their roll over date but this still does not answer the original question.Would Simon be able to help.Thanks
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Not applicable
Your margin is the same for each, there is no difference in spread either. I trade the earlier contracts if they remove the dividend calculation out of the equation (I don't like the unknown suprises). I trade the later contracts, if I am in danger of a rollover (which incurs costs)
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Super Contributor
You pay more interest on the June as compared to Mar the longer you have it the more you pay.
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Contributor
Let's re-phrase the question. If one takes out a contract with the intention of holding it for say two weeks, what would be the difference in taking a Mar09 or Jun09 contract?No roll overs expected.
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Super Contributor
The amount of interest paid is related to the number of days you held the contract. Holding the March contract for five days and the June contract for five days should be exactly the same.
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Not applicable
Shouldnt make any difference at all. You pay interest on the number of days you've held the contract.The expiry date on the contract becomes null and void if you close your position before such date.
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Not applicable
I thought futures are priced off the underlying? How are the futures MTM's calculated? Sometimes, even though I have a theoretical profit on the underlying the futures position shows a MTM loss. How does this work?
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Not applicable
You could have a daily P but an overall L, and vice versa. Depends which of the two columns youre checking.
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Not applicable
No no...not what I'm saying. What I mean is that had I taken identical position in the underlying I would see a profit at the close... But the futures MTM shows a loss. But I see that now it has come right. JSE probably just needs some time to resolve their MTM figures after the close
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Regular Contributor
I've also noticed there's quite a difference in valuations at 17h00 and 20h00. If you check the fine print on the home page where you get your valuations (all the footnotes and asterisksezzz), I think you might find the answer. If there are no offers/bids at a particular time, they use the previous period's something or other... All terribly complicated. I equate the morning's figure with reality :-)
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Valued Contributor
at 5pm we value the SSF at bid or offer, and this can be skew. Then we get the mtm at around 7pm for the official value.
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Regular Contributor
What are the roll-over costs? Is it based on a % of the initial margin?
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Not applicable
Hi Simon. I would also like an explanation on exactly how rollover costs are calculated. Thanks
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Valued Contributor
roll over costs, 0.4% of underlying value +brokerage of R60 +vat.
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