US Equity Futures Roll Recap: June - September 2026

Research evidence excerpt

US Equity Futures Roll Recap: June - September 2026

J P M O R G A N Global Markets Strategy

18 June 2026

US Equity Futures Roll Recap

June - September 2026

The US Jun-Sep futures rolls traded rich this quarter, reflecting the strong demand Global Equity Derivatives Strategy

ACfor equity leverage highlighted in our Roll Outlook. The S&P 500 and Nasdaq 100 Bram Kaplan, CFA

rolls richened significantly into expiry, in line with our view, and their VWAP roll (1-212) 272-1215

costs printed at the highest non-year-end levels in our records. The Russell 2000 bram.kaplan@jpmorgan.com

diverged from the large cap indices given weaker positioning: it traded only J.P. Morgan Securities LLC

modestly above historical median levels and cheapened in week one before joining Daniel Motoc, CFA AC

the broader richening into expiry. Meanwhile, MSCI EM generally cheapened and (1-212) 622-0105

daniel.motoc@jpmchase.com

EAFE was near-neutral, both in line with our predictions. J.P. Morgan Securities LLC

Arda Sebuktekin

Spot levels were mixed over the roll window: indices sold off initially, rallied (1-212) 270-4397

during expiry week, then eased back into expiry. Rates were relatively stable until arda.sebuktekin@jpmchase.com

yesterday's hawkish FOMC meeting, which drove an uptick in yields. Overall, roll- J.P. Morgan Securities LLC

spread volatility was driven mostly by spot moves during the first week, but Tony SK Lee

primarily by a surge in implied financing spreads during expiry week (Figure 4Financingspreadsdrovemostoftherolspreadmovesduringexpirywek). (852) 2800-8857

tony.sk.lee@jpmorgan.com

Figure 1: The US rolls generally moved higher Figure 2: Spot levels were mixed, while rates J.P.MorganMorganBrokingSecurities(Hong (AsiaKong)Pacific)LimitedLimited/ J.P.