jpmorganmarkets
North America Quantitative&
Derivatives Strategy
06 March 2017
US Equity Futures Rollover
Outlook
March -June 2017
Equity Derivatives Strategy
Bram Kaplan, CFA AC
(1-212) 272-1215
bram.kaplan@jpmorgan
Marko Kolanovic, PhD
(1-212) 272-1438
marko.kolanovic@jpmorgan
J.P. Morgan Securities LLC
See page 34 for analyst certification and important disclosures.
J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the
firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in
making their investment decision.
improvement in positioning biasesthe roll toward richening into expiry, in
our view.The roll is already trading at its richest level in 2 years, but the
significant increase in long positions could drive a further richening and
increases the risk that dealers’ balance sheet capacity becomes a price-
determining factor.However, a risk to our base case view isthe potential for
deleveraging by systematic investors driven by a seasonal rise in equity
correlation, whichcould erode this strong positioning and pressurethe roll.
our view. In particular, positioning in the EAFE contract appears significantly
more skewed towards longs, evidenced by arecentincrease in dealer short
positions and speculator longs, and strong flows into international DM funds.
market’s sharp repricing of the prospects for a hike next week.Additionally,
political developmentspresent risk to the roll,as theycould drive a rush for
futures liquidityto implement new directional positions.
futureslisted on the CME. The back section of the report contains detailed roll
statistics for the S&P 500, Russell 2000, NASDAQ 100, S&P 400, MSCI EM,
and MSCI EAFE index futures, and an overview of liquidity trends for global
equity-linked markets.
Roll cost progression for the S&P 500 Mar-Jun’17futures roll
Source: J.P. Morgan Equity Derivatives Strategy, Bloomberg1030
40
50
60
70
80
26242220181614121086420
IFR
Sp
rea
d b
ps
Ric
h/C
hea
p
Trading Days to Expiration
Euro$ Dec-Mar
Past 1 Y Avg (vs Euro $)
Current Roll cost (vs E$)
Current Roll cost (vs Fed)
Global Quantitative and
Derivatives Strategy
Marko Kolanovic (Global)
(1-212) 272-1438
mkolanovic@jpmorgan
J.P.Morgan Securities LLC
Davide Silvestrini (EMEA)
(44-20) 7134-4082
davide.silvestrini@jpmorgan
J.P.Morgan Securities plc
Tony Lee (AsiaPacific)
(852) 2800-8857
tony.sk.lee@jpmorgan
J.P.Morgan Se
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