Understanding Index Futures : Pricing, Rollover and Arbitrage
What is Rollover?
As the name suggests, rollover means switching a near-month contract that is closer to its expiration date with another contract whose expiry is in a later month.
It means closing one’s position in one contract and opening a similar position in another contract having expiry in a further-out month contract. The switch could be mid-month or far-month; it depends on liquidity and the price of rollover contracts.
Rollover can only occur in the case of futures and not options.