Roll Recap

Futures roll activity has picked up a little since yesterday’s Sydney close, with smaller tick increments in play ahead of Z1 contract expiries on 15 December.

• YM roll: ~57K lots have traded since the Sydney close (~41K given from 11.8 down to 11.4, with ~16K lifted at 11.6/11.8). Market last 0.116/0.118. 14.9% of the YM roll was estimated to be competed as of Wednesday 8 December.
• XM roll: ~145K lots have traded since Sydney settlement {95K given at 5.4/5.3, with ~50K lifted at 5.4/5.5). Market last 5.3/5.4. 16.9% of the XM roll was estimated to be competed as of Wednesday 8 December.