14 Dec 2022

Eurex

European benchmark futures roll update

Statistics of the current December roll

As we have stepped into the final week of the futures roll period, we would like to show the statistics of the current December 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. The dashed line shows a historical mean of the ten recent rolls and gray bandwidths depict one standard deviation from the historical mean levels. 

As we see from the graph above, the roll started with slightly underweighted open interest in the back months (5% of total open interest) of EURO STOXX 50® Index Futures. In the first two weeks of the rolling period, members transferred 30% of open interest to the back month. We expect members to roll another 48% of open interest in the remaining days before expiry.

This time, members started to roll their positions on EURO STOXX® Banks Futures eight days before expiry. As of the end of Friday, we had 17% of open interest accumulated in the back month, with another 59% still expected to be rolled this week.

Unlike previous times, the STOXX® Europe 600 Futures roll started seven trading days before the expiry. As of the beginning of this week, 35% of OI was rolled to the back month expiries, slightly lower than historical average values. We expect most of the roll activities to be done during this week.

SMI® Futures showed smooth rolling activity last week. The week started with 30% of open interest being rolled to the back months and 41% more is expected.

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