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has a published policy for rolling its contracts, such as on a given day or over a given period, a trading strategy is to roll in advance of the index, in anticipation of its trading volume. This is referred to as
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security. Thus, if one has purchased the on-the-run 30-year treasury and a new 30-year auction occurs, one may sell the old treasury, which is now off-the-run, and purchase the new on-the-run treasury.
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There is generally very high trading activity on these dates, as contracts whose maturity falls on them are rolled.
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One may roll a contract because one has a special preference for a specific maturity—for example, the five-year
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is an investment concept meaning trading out of a contract and then buying the contract with next longest
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rate of a given name—or because a given on-the-run security is more liquid than off-the-run securities.
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123:This finance-related article is a
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127:. You can help Knowledge by
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98:Rollover (foreign exchange)
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81:index roll congestion
70:Index roll congestion
93:Jelly roll (options)
28:Rolling a contract
18:Rollover (finance)
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179:Investment
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60:on-the-run
38:Motivation
87:See also
74:When an
50:Examples
32:maturity
76:index
125:stub
44:CDS
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