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Rollover

The daily moment, usually 5pm New York, when open FX positions are rolled to the next value date and swap interest is applied.

Rolling a futures position forwardThe March contract is sold and the June contract bought on the roll date, before March expires.5.004.754.504.254.00Contract price1 Feb15 Feb1 Mar15 Mar1 AprCalendar dateROLL DATEsell March, buy June the same dayMarch expiresMARCH CONTRACT (front month)JUNE CONTRACT (next up)Solid = the contract you hold. Dashed = the contract you do not.
Rolling a futures position forward. Every futures contract has an expiry date, so a trader who wants to stay in the market closes the front-month contract and opens the next one. That swap is the roll, and the two contracts rarely trade at the same price.

Rollover is a bookkeeping event, not a trading one. At the cut-off, every open position is pushed forward one value-date via tom-next, and the resulting debit or credit hits the account. Positions opened and closed within the same day never see it.

Around the cut-off, liquidity thins as banks change books between New York and Sydney. Spreads can widen for a few minutes and stops placed close to price are unusually exposed. Many traders avoid holding tight stops through it.

Example: a broker charges minus $9.40 per night to hold one lot of EUR/USD long. Held for 12 calendar days including one Wednesday, the cost is 14 charged days x $9.40 = $131.60, because the Wednesday roll counts triple.

Related: tom-next, triple-swap-wednesday, swap-rate

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