Mar 15, 2022
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 March 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 7 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 demonstrates a smooth rolling activity which tracks one to one the historical averages. It has started with almost 10% of back-month open interest 15 trading days prior to expiry and added another 11% in the first two weeks of rolling month. It is expected that members will roll another 55% of open interest into back-month expiry.
This time members started to roll their position on EURO STOXX® Banks Futures later than usual, entering back-month expiries just 8 days prior to expiry. As of end of Friday, we had almost 15% of open interest accumulated in the back-month, another 60% still expected to be rolled during this week.
Unusual to the previous times, STOXX® Europe 600 Futures roll has started 7 trading days before the expiry. As of beginning of this week, 27% of open interest was rolled to the back-month expiries, a bit lower than historical average values. We expect the most of roll activities to be done over the course of this week.
SMI® Futures are showing a smooth rolling activity over the course of last week. This week has started with 33% of open interest being rolled into the back-months, 50% more to go.
