Global Equity Futures Viewpoint: Q2-26 Equity Index Futures Roll Strategy

Research evidence excerpt

Global Equity Futures Viewpoint: Q2-26 Equity Index Futures Roll Strategy

Accessible version

Global Equity Futures Viewpoint

Q2-26 Equity Index Futures Roll Strategy

S&P 500 futures richen as demand tests supply 07 June 2026

Assuming cash collateralized to SOFR, the annualized cost of rolling S&P 500 E-mini Futures

futures from Jun to Sep expiry is currently around 75bps rich, broadly in line with Q3-24. Global

Net CFTC “Buy Side” futures positioning is also similar to Q3-24, but the composition is

more levered: asset-manager length and leveraged-fund shorts are both much larger in Table of Contents

magnitude. The higher leveraged short base may point to broader hedge fund leverage

S&P 500 Jun-26/Sep-26 Futures Roll 2

outside listed futures, consistent with recent reports of elevated equity prime brokerage

EURO STOXX Jun-26/Sep-26 Futures Roll 12

gross and net exposure. This makes the current roll a two-variable problem: if total

demand is higher than futures imply, or if dealer supply is paring back, 75–80bps is FTSE 100 Jun-26/Sep-26 Futures Roll 19

justified and levels above 80bps are possible. If demand is largely captured by futures Nikkei 225 Jun-26/Sep-26 Futures Roll 22

and supply remains supported, the roll could cheapen below 65bps. We therefore expect Topix Jun-26/Sep-26 Futures Roll 24

richness to stay supported unless PB demand is overstated and dealer supply holds firm MSCI EM Jun-26/Sep-26 Futures Roll 26

or continues to expand. Summary of Prior Roll Strategy Reports 29

Positioning down in Europe but roll richening risks remain

Chintan Kotecha

The current annualized cost of rolling long ESTX50 futures from Jun to Sep is 15bps rich, Equity-Linked Analyst

assuming cash collateralized to 3m EURIBOR and bottom-up net dividends, placing the BofAS