Asia Equity Futures Monthly Roll Update - June-2026

Research evidence excerpt

Asia Equity Futures Monthly Roll Update - June-2026

EI slightly cheap at -0.18% and -0.71% annualized, respectively. Roll costs SHCOMP 2.0% 0.6% 10 -80 EM Asia remain relatively low versus their historical range, even as open interest stays elevated across both contracts. Cheap rolls combined with high open interest point to supply/demand dynamics skewed toward shorts, particularly in HSCEI, where new short positioning appears to be outpacing longs. We therefore see risks biased XIN9I 1.0% -0.9% 11 Foreign-100 KR TW

toward further cheapening and recommend shorts roll early to lock in current levels, while longs may find better entry pointsahead. KOSPI2 7.6% 3.6% 2 -120 IN

-140

• HSTECH rolls are trading at a notable discount at -1.01% annualized, appearing cheap relative to history. Volume analysis sugg ests new long positioning is AS51 3.6% 2.1% 4 Jan-26 Feb-26 Mar-26 Apr-26 May-26 Jun-26

outpacing new shorts, while open interest remains elevated. With roll costs starting from relatively cheap levels, we see risks biased toward richening into expiry.

Longs should consider rolling early, while shorts may wait for more attractive levels. NIFTY 3.2% 1.9% 5

40 ($bn, Cumulative)

3 35 TAMSCI 2.8% 2.4% • XIN9I futures rolls are trading at a wide discount to fair value ( -2.67% annualized), extending the cheap trend seen in recent months. Open interest remains close

30 JP CH IN to last month’s low levels, with no signs of improved positioning. While the roll has cheapened into expiry over the past three cycles, current levels are already very 8 SIMSCI 2.0% 1.6%

cheap, suggesting further downside may be limited. We expect roll costs to remain low, but take a neutral stance on timing and recommend rolling with liquidity. 25 KR EM

KLCI 2.1% 1.6% 7 20