# Rollover cost for futures

Whats the rollover cost for Currency futures/index futures? give me exact figures by taking this expiry’s inde futures rollover, (that annualized rollover cost of 5.07%) that is tricky to understand. Just give me the exact number for the rollover cost. Thanks

For index futures, theoretically, the rollover cost is the risk free interest rate. Considering the index future expiry is generally for max 3 months into the future, you can take the RBI’s 91 day Treasury bill as a proxy for the short term risk free rate.

As on today, this RBI rate is 6.737% pa.

Example
Let’s suppose Nifty spot is at 18700 on 23-Jun.
Expiry date for Aug future is 31-Aug

Number of days to expiry is 69 days.

Hence theoretically Nifty Aug Futures should be priced at spot price + 18700*(6.737/365)*(69/100)
which comes to 18700+238 = 18938

So rollover cost is basically whatever extra you are paying above the spot price.

Remember, this is theoretical and slight approximate as no dividend is considered. Also futures price depends on demand, supply, etc as well.

1 Like