Problem with GC rolling

[spickering-git]

rollover_helper.py

We have chosen these futures due to liquidity
The GC_ContFut looks fine

However, the GC_CallSpread looks like it has windows of holding nothing

There are Jan and Feb option contracts on the Feb futures contract.
There are May and June option contracts on the June futures contract.
There are July and Aug option contracts on the Aug futures contract.
There are Nov and Dec option contracts on the Dec futures contract.

the Feb option contract will roll into May options on the June future
the Aug option contract will roll into Nov options on the Dec future

[alexveden]

Fixed bug with gold rollovers in the new tmldb_v2:

Does it look better?

[alexveden]

There are Jan and Feb option contracts on the Feb futures contract.
There are May and June option contracts on the June futures contract.
There are July and Aug option contracts on the Aug futures contract.
There are Nov and Dec option contracts on the Dec futures contract.

But in this regime there are no Mar, Apr, Sep, Oct month, is that correct?

[nikolas-joyce]

It does look more continuous but there still look like there are some flat periods don't you think? It is probably acceptable though. Thx

…

Sent from my iPhone On Apr 14, 2017, at 3:10 AM, alexveden <notifications@github.com<mailto:notifications@github.com>> wrote: There are Jan and Feb option contracts on the Feb futures contract. There are May and June option contracts on the June futures contract. There are July and Aug option contracts on the Aug futures contract. There are Nov and Dec option contracts on the Dec futures contract. But in this regime there are no Mar, Apr, Sep, Oct month, is that correct? — You are receiving this because you were assigned. Reply to this email directly, view it on GitHub<#159 (comment)>, or mute the thread<https://github.com/notifications/unsubscribe-auth/ARobLJAslIY30WuqMgpG5KLq5kFPB5qKks5rv0YTgaJpZM4M6qeD>.

[alexveden]

It does look more continuous but there still look like there are some flat periods don't you think?

These flat periods appear because we are skipping 4 options months in a year.

[nikolas-joyce]

Is it possible to use those other 4 months also?

…

Sent from my iPhone On Apr 14, 2017, at 4:27 AM, alexveden <notifications@github.com<mailto:notifications@github.com>> wrote: It does look more continuous but there still look like there are some flat periods don't you think? These flat periods appear because we are skipping 4 options months in a year. — You are receiving this because you were assigned. Reply to this email directly, view it on GitHub<#159 (comment)>, or mute the thread<https://github.com/notifications/unsubscribe-auth/ARobLL4_i6Q9nGSPi6Z9emnJCtdNDivTks5rv1g1gaJpZM4M6qeD>.

[nikolas-joyce]

I guess it causes some instability if we are using options with 30 days for some periods and 60 days for others. Any idea on possible solutions? Always 60 days?

…

Sent from my iPhone On Apr 14, 2017, at 4:27 AM, alexveden <notifications@github.com<mailto:notifications@github.com>> wrote: It does look more continuous but there still look like there are some flat periods don't you think? These flat periods appear because we are skipping 4 options months in a year. — You are receiving this because you were assigned. Reply to this email directly, view it on GitHub<#159 (comment)>, or mute the thread<https://github.com/notifications/unsubscribe-auth/ARobLL4_i6Q9nGSPi6Z9emnJCtdNDivTks5rv1g1gaJpZM4M6qeD>.

[alexveden]

Is it possible to use those other 4 months also?

Yes, I'm just following the rules that Steve added to rollover helper for GC

I guess it causes some instability if we are using options with 30 days for some periods and 60 days for others. Any idea on possible solutions? Always 60 days?

Are options for Mar, Apr, Sep, Oct so illiquid? Can we add these months to rollover regime?

[nikolas-joyce]

I believe the bigger issue was that the serial options did not expire into the quarterly futures, they expire into less liquid futures. We do not plan to hold near to expiration so we could experiment with using these other months.

…

Sent from my iPhone On Apr 14, 2017, at 6:46 AM, alexveden <notifications@github.com<mailto:notifications@github.com>> wrote: Is it possible to use those other 4 months also? Yes, I'm just following the rules that Steve added to rollover helper for GC I guess it causes some instability if we are using options with 30 days for some periods and 60 days for others. Any idea on possible solutions? Always 60 days? Are options for Mar, Apr, Sep, Oct so illiquid? Can we add these months to rollover regime? — You are receiving this because you were assigned. Reply to this email directly, view it on GitHub<#159 (comment)>, or mute the thread<https://github.com/notifications/unsubscribe-auth/ARobLG3YRH80eHFjSWtjKPjdHd_HoyCWks5rv3icgaJpZM4M6qeD>.

[nikolas-joyce]

Steve can you add the missing months to GC roll over helper and see if we get a more continuous time series. Thx

…

Sent from my iPhone On Apr 14, 2017, at 6:46 AM, alexveden <notifications@github.com<mailto:notifications@github.com>> wrote: Is it possible to use those other 4 months also? Yes, I'm just following the rules that Steve added to rollover helper for GC I guess it causes some instability if we are using options with 30 days for some periods and 60 days for others. Any idea on possible solutions? Always 60 days? Are options for Mar, Apr, Sep, Oct so illiquid? Can we add these months to rollover regime? — You are receiving this because you were assigned. Reply to this email directly, view it on GitHub<#159 (comment)>, or mute the thread<https://github.com/notifications/unsubscribe-auth/ARobLG3YRH80eHFjSWtjKPjdHd_HoyCWks5rv3icgaJpZM4M6qeD>.