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XM Roll Activity Leading Thus Far


The XM roll has been more active than its YM equivalent after the shift to smaller tick sizes ahead of next week’s expiry, with 88% of the ~220K lots dealing in the XMH3/M3 spread on the bid in the time since the overnight session got underway, trading from 0.7 down to 0.3 (market 0.3/0.4 last). Estimates indicate that ~14% of the XM roll has been completed, alongside ~8% of the YM roll.

MNI London Bureau | +44 0203-865-3809 |
MNI London Bureau | +44 0203-865-3809 |

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