Jun 14, 2021
Eurex
European benchmark index futures roll update
As we have stepped into the final week of futures roll period, we would like to show statistics of the current June roll with a focus on Benchmark Index Futures.
Below, every graph contains a solid line representing the back month open interest ratio to the total open interest. Dashed line shows a historical mean of 5 recent rolls and gray bandwidths depict one standard deviation from the historical mean levels.
As we see from the graph above, EURO STOXX 50® Index Futures started the June roll with 5.7% of open interest loaded in the back-month expiries, a bit below from the historical mean observed over the last 5 rolls. However, members have caught up in the pace of roll and gradually transferred another 18% of front month open interest before the expiry week. Over the last days, the dynamics of roll curve follows the beaten path of historical values.
EURO STOXX® Banks Futures exhibits a smooth roll with rolling intensity starting to pick up 10 trading days before the expiry. So far, the June roll curve resembles its historical values with most of activity concentrated in the last expiry week. As of end of last Friday, we have almost 24% of open interest accumulated in the back month, another 50% still to be rolled during this week.
STOXX® Europe 600 Futures demonstrate a smooth and consistent roll behavior. 86% of FXXP Open Interest is usually rolled into the back month at the end of the roll.
