On September 11𝑡ℎ, we expect the 10-Year calendar spread to cheapen by another tick with a probability of 52%. We expect the 3-Year calendar spread to also cheapen by one tick with a probability of 55%. (Based on Sept 2020)

Guest UserDecember 8, 2020Interest Rates

EUREX - Long-Term BTP Futures Roll Forecast

We are issuing our first update for Long-Term BTP for the ongoing December to March 2021 (Z0 to H1) roll. The expiration date of the near contract is December 8th and our forecast is issued with reference to the settlement prices of December 1st.

Guest UserDecember 8, 2020rates, Interest Rates

CME - E-Mini S&P 500 Futures Roll Forecast

Using the end of day settlement prices from 2009 until now, we construct a simple regime based model to forecast the change in calendar spread during the roll periods of e-mini S&P 500 futures (exchange symbol ES).

Guest UserDecember 6, 2019Equities

ICE Europe - Long Gilt Futures Roll

We are into the first week of the ongoing Long Gilt future roll period and the calendar spread has richened by seven ticks since the start of the roll period. Our forecast based on our model is bullish relative to the beginning of the roll period. (Based on Dec 2019 data)

Guest UserDecember 2, 2019Interest Rates

CME - Interest Rate Roll Forecast

Every roll period we issue a forecast specific to CME’s Interest Rate contracts, including the 2-Year, 5-Year, 10-Year, 30-Year and Ultra Bond.

Guest UserDecember 1, 2019Interest Rates

CME - Soft Wheat Futures Roll Forecast

We are a few days into the Chicago SRW wheat futures (exchange symbol ZW) Z9-H0 roll period. Here are the key points for the ongoing roll: Forecast based on multifactor model is that the calendar spread will richen .75 ± 0.8 from 𝑡 = −20, which is the start of the roll period until 𝑡 = −5, which is the options expiration day of the near contract..

Guest UserNovember 29, 2019Commodities

CME - Corn Futures Roll Forecast

We are a few days into the Chicago Corn futures (exchange symbol ZC) Z9-H0 roll period. Here are the key points for the ongoing roll: Volatility in the calendar spreads during the roll periods is typically low, more so during the December roll periods…

Guest UserNovember 22, 2019Commodities

CME - WTI Crude Oil Roll Forecast

Every roll period we issue a forecast specific to CME’s WTI Crude Oil futures contract, including the two most active futures roll periods. Contact us to receive the latest forecast and learn about The Roll Algorithm.

Guest UserAugust 30, 2019Commodities

CME Wheat Futures' Calendar Spread During The Roll Periods

Using CME’s end of the day settlement prices from 2001 – 2019, we analyze Chicago soft Red Winter Wheat (exchange symbol SRW) futures’ calendar spreads around the roll periods.

Guest UserApril 9, 2019Commodities

Forecasting Long Gilt Futures' Calendar Spread During Roll Periods

We use end of the day settlement prices provided to us by LIFFE exchange since 2014 to forecast the change in the calendar spread during the roll periods of Long Gilt futures(exchange symbol R).

Guest UserFebruary 11, 2019Interest Rates

Descriptive Study of U.S Treasury Futures' Calendar Spread Around the Roll Period

Using the end of the day settlement prices from 1980 – 2018 of U.S. Treasury futures, we study the characteristics of the calendar spread around the roll periods.

Guest UserDecember 11, 2018Interest Rates