What does the IMM roll mean? Some sort of resetting of curves - but how would this result in gain or loss??

I am thinking that IMM means the International Monetary Market division at the Chicago Mercantile Exchange. Since these contracts are futures, with a typical 3 month contract for currencies and stock index futures, they need to be rolled from the June contract to the September to keep the trading position in place and NOT take delivery. You can loose money rolling over by paying the bid/ask spread and squeezes have been know to happen to shorts who have stayed to long and the front month contract becomes illquid. I recall a wheat move of about $2 just in the expiring contract in 1997 from a speculator with a large position who stayed to long in the contract. The commercial traders who would take the position off his hands really made the firm pay up... For Stock index futures everyone just rolls the week before expiration on Thursday close/Friday Open, so not as big an issue there.

Thanks - how would this also apply to the Default Swap market?

usually curves are built using the first x futures (+ cash, swaps,..) so every 3 months the first future rolls out of the curve and an extra future is added at the back of the futures strip which cause some issues....

I read once that only 2% of futures holders ever take delivery. Why don't exchanges just make everything cash settled?

QuoteOriginally posted by: Davo123Thanks - how would this also apply to the Default Swap market?CDS ususally trades to fied maturity dates. 20-mar, 20-Jun, 20-Sep and 20-Dec. IMM dates are I think 3rd Wednesday of every Mar, Jun, Sep and Dec (apart form serial contract). These 3rd Wednesday dates will be close to the 20th.... people in the CDS market refer to the CDS rolling on the 20th as IMM style which they almost are../Mark