Tick Size Reduction and its Impact on the ASX 3-Year and 10-Year Futures During The Roll Period

August 31, 2020 - In a previous whitepaper, we analyzed the impact of tick size reduction on the market microstructure variables of US 2-Year futures using diff-in-diff regressions. Based on that analysis, we expected a drop in quote and trade size for ASX interest rate futures during the roll period. In this research, we compare the microstructure variables of ASX 3-Year and 10-Year calendar spreads during the September roll period against the previous roll periods.

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