US Equity Futures Rollover Outlook June - September 2026

Research evidence excerpt

US Equity Futures Rollover Outlook June - September 2026

J P M O R G A N Global Markets Strategy

08 June 2026

US Equity Futures Rollover

Outlook

June - September 2026

Global Equity Derivatives Strategy

Bram Kaplan, CFA AC

(1-212) 272-1215

bram.kaplan@jpmorgan.com

J.P. Morgan Securities LLC

• The S&P 500 and Nasdaq Jun-Sep rolls are among the richest non-year-end Daniel(1-212) 622-0105Motoc, CFA

levels in recent years. Equity leverage demand has increased significantly: daniel.motoc@jpmchase.com

asset managers, HFs, systematic strategies, and levered ETFs added exposure J.P. Morgan Securities LLC

q/q, the spot rally increased financed notionals, and front-contract implied Arda Sebuktekin

financing is very rich. With positioning elevated, we expect the SPX and NDX (1-212) 270-4397

rolls to richen into expiry. arda.sebuktekin@jpmchase.com

• That said, the outlook is spot-dependent. An extension of Friday’s sell-off Tony SK Lee

could unwind leverage and cause the rolls to be impacted primarily by spot/vol-

(852) 2800-8857

driven repricing rather than financing-spread moves. tony.sk.lee@jpmorgan.com

• RTY has diverged materially, with the front-month trading cheap and J.P.MorganMorganBrokingSecurities(Hong (AsiaKong)Pacific)LimitedLimited/ J.P.

positioning weaker, leaving the RTY roll biased to cheapen into expiry.

Davide Silvestrini

• In EM, weaker positioning, already evident ahead of Friday’s drawdown, (44-20) 7134-4082

skews the MSCI EM roll toward cheapening. In contrast, we expect the davide.silvestrini@jpmorgan.com

MSCI EAFE roll to exhibit a neutral trend. J.P. Morgan Securities plc

• Rates risk is moderate for the rolls. The market and economists expect the

Fed to remain on hold for the next two meetings, but data releases (e.g. CPI on