CTA · Core
CTA Futures Roll and Contract Selection
Which expiry you hold and when you roll is a first-class P&L — not an operations footnote — especially in commodities and VIX.
Definition
Rules pick the most liquid expiry, skip a squeeze month, or optimize roll yield. Rolls follow open-interest or a fixed calendar. A bad roll in WTI or VIX can dominate the month’s trend P&L.
Why it matters
Indexers and CTAs rolling the same day move the calendar. Being mechanical on the same clock is a tax.
Case
A WTI roll into a distressed front. The trend signal was right; the contract was the wrong market.
How to read it
Roll rule vs a liquidity/OI rule, and whether they can skip a month. Ask for P&L attributed to rolls.
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