08 Sep 2022

Eurex

Eurex MSCI roll update: Early stages of roll activity, Total OI of over EUR 152 billion - Calendar roll markets on screen on ZTW, FMI and ZWP

Eurex - Global home of MSCI derivatives

Eurex MSCI roll updates for last 3 days (Sep 5 – 7)

  • Calendar books are also tightening in ZTW, FMI and ZWP
  • Late roll activity was already observed in March and June this year; majority of rolling activity only happened in either the last week (March22) or start of mid of the previous week (June 22)

Please see snapshot and details below:

Pace of roll updates by expiry for:

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