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If I trade a futures roll on S&P on two futures contract, say 100 contracts of dec vs mar roll. Do I have any residual delta to hedge? I see small residual $ delta, should I hedge this?

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  • $\begingroup$ Can you explain a little more what you are doing? Why are you long 100 Dec futures in the first place (for what purpose) and what is your goal... $\endgroup$ – noob2 Dec 9 '18 at 1:09
  • $\begingroup$ just the basis looks interesting... but should I have done different amounts of each contract? $\endgroup$ – abcd123 Dec 9 '18 at 1:45
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Yes, you should see a small interest rate delta which represents exposure to interest rates between December roll date and March roll date. What's the risk? The market currently assumes that the Fed will hike in December. If they don't , rates could fall 25bp during that period.

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