Futures

Core idea

Futures market-neutral strategies trade spreads across expiries, related contracts, or cash instruments. Contract multipliers, margin, roll schedules, delivery terms, and basis drive construction.

Implementation

Spread value must be measured in comparable contract units and net of roll and financing costs.

Primary risk

Delivery mechanics, roll congestion, and funding stress can move spreads independently of the intended thesis.

Frequently asked questions

What is futures?

Futures market-neutral strategies trade spreads across expiries, related contracts, or cash instruments. Contract multipliers, margin, roll schedules, delivery terms, and basis drive construction.

What is the main risk of futures?

Delivery mechanics, roll congestion, and funding stress can move spreads independently of the intended thesis.