Rollover

The nightly sense first. A spot foreign exchange transaction conventionally settles two business days after it is dealt, so a position still open at the daily cut off has its value date pushed forward by one business day. Rolling that date is not free, because the two currencies carry different interest rates, and the net of the rate received on one side against the rate paid on the other, adjusted by the provider's own charge, is applied to the account as the swap. The cut off is a time on the provider's server rather than a fact about the market, which is why the same position rolls at different moments at different firms.

The expiry sense is a different operation with the same name. An instrument priced from a dated future cannot outlive the contract behind it, so at a stated date the expiring month is replaced by the next one. Those two months trade at different prices because they price different dates, so a provider applies a cash adjustment to the position equal to the difference, leaving the holder's result unchanged by the roll itself. The chart, however, usually shows a step at that point, and that step is a change of contract rather than a market move.

Three details are commonly missed. One weekday carries three days of financing rather than one, because the value date being rolled that day lands after the weekend, and which weekday that is depends on the instrument's own settlement convention rather than being the same everywhere. The adjustment can be a credit or a debit and can change sign without the position changing, since the underlying rates move. And a positive market differential does not necessarily reach an account as a credit, because the provider's charge sits between the market rate and what is applied.