Rolling (finance)

One may roll a contract because one has a special preference for a specific maturity—for example, the five-year CDS rate of a given name—or because a given on-the-run security is more liquid than off-the-run securities.

While holding US Treasuries, one may wish to hold only the most recently issued security of a given maturity, the so-called on-the-run security.

There is generally very high trading activity on these dates, as contracts whose maturity falls on them are rolled.

When an index has a published policy for rolling its contracts, such as on a given day or over a given period, a trading strategy is to roll in advance of the index, in anticipation of its trading volume.

This is referred to as index roll congestion.