June 03, 2024 11:03 GMT
Roll Activity Underpins Futures Volumes As Macro News Flow Thins Out And Expiry Approaches
BUNDS
Roll activity dominates when it comes to German FI futures volume, with the lack of meaningful macro news flow over the past couple of hours and proximity to Thursday’s M4 expiries promoting activity.
- Spread activity accounts for 40-60% of the daily volume in German FI M4 futures contracts, depending on the bond contract you are looking at.
- Spread levels are little changed to a touch lower on the day,
69 words