Rolling over is a strategy used to extend an arbitrage position by closing out the existing futures position and opening a new one with a later expiration date. This is done to:

- Extend the duration of the arbitrage position

- Maintain the profit potential

- Avoid realizing profits and losses

The steps involved in rolling over an arbitrage position are:

1. Close out the existing futures position

2. Open a new futures position with a later expiration date

3. Maintain the cash position

By rolling over the position, the arbitrageur can continue to earn the spread between the cash and futures markets without realizing profits and losses. This strategy is commonly used in cash-futures arbitrage, where the goal is to exploit the price difference between the cash and futures markets.

For example, let's say an arbitrageur buys 100 shares of XYZ stock in the cash market at $50 and simultaneously sells 100 shares of XYZ futures (expiring in June) at $52. To roll over the position, the arbitrageur would close out the June futures position and open a new futures position (expiring in September) at $53, maintaining the cash position. This extends the arbitrage position and maintains the profit potential.