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Eurex roll pace update

  • Still a little early for Eurex rolls, but they have traded a little bit today.
  • Bund spread has traded 34.6k outright, and volume in March stands at 53.3k, so likely more done on legs.
  • Spread should really start to pick up next week, with expiry on the 8th Dec.

Roll pace:

  • Buxl: 5.2%.
  • Bund: 9.0%.
  • Bobl: 10.0%.
  • Schatz: 9.0%.
  • BTP: 5.0%.
  • BTS: 15.0%.
  • OAT: 12.0%.

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