Futures Roll Rolling 100% July to Sept in a single day is a significant event to share price. This is because the futures that the ETF holds are in steep contango. The current contango between July and Sept is 23%.
This means Sept futures are 23% more expensive than the July futures these ETF's hold.
When rolling, that means bulls (HOU) lose 23% on the roll. Yes, LOSE 23%, not gain. They pay 23% more for the same contracts.
It's futures bears or shorts (HOD), who gain 23% as they capture this contango.
If the market was backwardated (meaning far out contracts were LESS expensive than near contracts), the inverse would occur: bulls would capture the backwardation, and bears would pay the premium.
Happy arbitraging!
