stack-and-roll

Hi, Could someone please elaborate on the roll-over hedging strategy used by MGRM. I understand rolling over futures to mean 1. sell open position expiring in the current month 2. open new position that expires in the upcoming month The net effect is postponement of the delivery a month in the...

Learning objectives: Calculate the profit and loss on a short or long hedge. Compute the optimal number of futures contracts needed to hedge an exposure and explain and calculate the “tailing the hedge” adjustment. Explain how to use stock index futures contracts to change a stock portfolio’s...