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?
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.