US Equity Futures Watch: Roll Costs in US Sector Futures

Research evidence excerpt

US Equity Futures Watch: Roll Costs in US Sector Futures

Accessible version

US Equity Futures Watch

Roll Costs in US Sector Futures

As trading in sector futures increases investors are starting to pay closer attention to financing costs… 08 July 2026

In this report, we show the roll costs since Sep 2024 for 12 US sector futures. Over the last one year, these Futures

contracts experienced average gowth of 24% in median daily notional open interest and 58% in median daily United States

notional volume. Cumulatively, the sector futures contracts in this report had approximately $39bn notional

open interest in Q2 2026 (see our Global Equity Index Futures Liquidity Monitor). As investors become more Nicholas Dunne

Equity-Linked Analyst

active in these contracts, it is natural for focus on funding costs to arise. BofAS

+1 646 855 2631

…but financing costs largely move with those of S&P 500 ES futures nicholas.dunne@bofa.com

Chintan Kotecha

S&P 500 ES futures still dominate the futures space, and roll costs in US sector indices generally move in line Equity-Linked Analyst

with ES futures. In this report we show that sector rolls usually trade within a few basis points of the ES roll. BofAS

+1 646 855 5478

chintan.kotecha@bofa.com

Exhibit 1: Equity index futures roll financing spread statistics for various US sector indices

Data through Jun 2026 with financing spreads vs implied SOFR rates

Index Name Base Ticker Prior Roll Cost Prior roll std. deviation 1-year avg. roll cost

Health Care Select Sector IXC 0.83% 0.13% 0.67%

Technology Select Sector IXT 0.84% 0.13% 0.72%

Materials Select Sector IXD 0.67% 0.10% 0.55%

Industrial Select Sector IXI 0.88% 0.13% 0.66%

Consumer Discretionary Select Sector IXY 0.72% 0.11% 0.62%

Consumer Staples Select Sector IXR 0.82% 0.15% 0.59%