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US and EU roll pace

EQUITIES
  • It is still a little early for Equity rolls, with expiry on the 17th March, but they have traded for some today in Estoxx.
  • VGH3/VGM3 has trade for over 27k outright spreads this morning.
  • Expect for these to pick up next week.

Roll pace:

  • S&P: 3%.
  • NQA: 3%.
  • DOW: 3%.
  • Estoxx: 8%.
  • DAX: 2%.
  • FTSE: 1%.

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