What is a 'rollover' adjustment?
A rollover adjustment applies to Futures CFD positions held through the contract's expiration date. When a position remains open beyond expiry, it is rolled into the next contract month, and a cash adjustment is applied to reflect the price difference between the expiring month and the next month contracts. The size of the adjustment depends on your position size, your direction (buy or sell), and the price differential between the two contract months.
The cost of rolling a contract is made up of two components: the spread, which is our normal dealing spread, and a variable roll fee that is derived from prevailing market conditions and charged by our liquidity provider, which we pass through to you at cost.
Referenced Prices
The prices used in the calculation are the closing bid and ask from our pricing source on the trading day immediately preceding the published rollover date. Because each leg of the roll uses the side of the spread you would trade on, a buy position is priced using the old contract's bid and the new contract's ask, while a sell position uses the new contract's bid and the old contract's ask. The general formula is:
Buy: (Old Bid − New Ask − Roll Fee) × contract size × lotsSell: (New Bid − Old Ask − Roll Fee) × contract size × lots
The difference between the buy and sell adjustments in any given roll reflects the dealing spread and the roll fee, and is expected rather than an error.
Example 1 — new contract priced higher than the expiring contract (contango)
Client has a position of 0.1 Lots in the July Brent Oil Futures
The July contract price is (Bid/Ask) 95.00 / 95.10, at the same time the August contract is 96.10 / 96.20, a roll fee of 0.05, contract size of 1,000 and 0.1 lot:
Buy position: (95.00 − 96.20 − 0.05) × 1,000 × 0.1 = −125Sell position: (96.10 − 95.10 − 0.05) × 1,000 × 0.1 = +95
Here the next contract is more expensive, so a buy (long) position results in a debit to your account but a sell (short) position would be a credit.
Example 2 — new contract priced lower than the expiring contract (backwardation)
Client has a position of 0.1 Lots in the July Brent Oil Futures.
The July Contract price is (Bid/Ask) 96.10 / 96.20, at the same time the August contract is 95.00 / 95.10, a roll fee of 0.05, contract size of 1,000 and 0.1 lot:
Buy position: (96.10 − 95.10 − 0.05) × 1,000 × 0.1 = +95Sell position: (95.00 − 96.20 − 0.05) × 1,000 × 0.1 = −125
Here the next contract is cheaper, so a buy (long) position results in a credit to your account but a sell (short) position would be a debit — the reverse of Example 1.
On your statement
The adjustment appears on the trading statement as "Cash Adjustment". Rollover dates are published in advance. Clients who do not wish to roll their positions should close them before the rollover or expiration date.