The Rolling of the SPI

You may be seeing some large numbers go through Time & Sales this week in SPI.

These are positions rolling from March to June expiry. Typically this happens in the week or so leading up to the front month expiry.

What you are probably seeing is large numbers going through Time & Sales, but not actually trading. This is 100% normal. The trades are actually taking place on the exchange traded spread. That is the SFE create a calendar spread market for March-June. A fund manager for example might buy 500 spreads in the spread market. This creates a series of transactions that flow through Time & Sales.

The fund that buys 500 spreads triggers two transactions – buying 500 March and selling 500 June. On the other site of the trade is the guy that SOLD the spread – triggering a sale of 500 March and purchase of 500 June. While the spread is traded at the spread price, the exchange must settle each leg of the spread at specific prices in March and June. This is why you see the Time and Sales going through without the individual contracts trading.