As futures contracts approach First Notice Day (FND) or Last Trading Day (LTD), traders who want to stay long or short the market need to roll their positions into a deferred futures contact. Many traders will choose to roll into the next front month.
For traders who are long or short physically delivered futures contracts, they will want to roll before FND. For traders who are long or short cash settled futures contracts, they will want to roll before LTD.
So what exactly is “rolling”? Rolling a futures position simply means closing the existing position and reestablishing it in a deferred month.
For example, let’s say I am long March Corn and it is two days before First Notice Day. I want to stay long Corn but I don’t want to risk delivery. I sell my March Corn to flatten out the March contract and I immediately buy May Corn, which will be the next front month. By selling March to get flat and then buying May to get long Corn again, I have “rolled” my position from March Corn to May Corn.

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