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Roll pace update

EQUITIES
  • Some desks are taking the opportunity of the quieter start of the Week to roll Sep positions into Dec, ahead of the Fed.
  • Just taking the Emini as an example, ~90% of the front Month Volume in ESA is spread related, Estoxx (VGA) now stands at circa 75%, vs 40% on the European open.

Pace:

  • S&P: 33%.
  • NQA: 25%.
  • DOW: 30%.
  • VGA: 25%.
  • DAX: 18%.
  • FTSE: 23%.
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  • Some desks are taking the opportunity of the quieter start of the Week to roll Sep positions into Dec, ahead of the Fed.
  • Just taking the Emini as an example, ~90% of the front Month Volume in ESA is spread related, Estoxx (VGA) now stands at circa 75%, vs 40% on the European open.

Pace:

  • S&P: 33%.
  • NQA: 25%.
  • DOW: 30%.
  • VGA: 25%.
  • DAX: 18%.
  • FTSE: 23%.