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Eurex Frankfurt AG

09/14/2021 | Press release | Distributed by Public on 09/14/2021 06:02

European benchmark index futures roll update

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 September 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 6 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 10% of back-month open interest 15 trading days prior to expiry and added another 25% in the first two weeks of rolling month. It is expected that members will roll another 60% of open interest into back-month expiry.

EURO STOXX® Banks Futures exhibits a smooth roll with rolling intensity starting to pick up 9 trading days before the expiry. So far, the September roll curve resembles the lower bandwidth of historical values with most of activity concentrated in the last expiry week. As of end of Monday, we have almost 32% of open interest accumulated in the back month, another 40% still to be rolled during this week.

STOXX® Europe 600 Futures demonstrate a smooth and consistent roll behaviour. 86% of FXXP Open Interest is usually rolled into the back month at the end of the roll.