MSCI Futures Rollover Outlook June - September 2026

研报英文原文证据摘录

MSCI Futures Rollover Outlook June - September 2026

J P M O R G A N Global Markets Strategy

08 June 2026

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MSCI Futures Rollover Outlook

June - September 2026

• The MSCI EM roll is trading rich to fair value, but has barely started to trade Global Equity Derivatives Strategy

AC and bid-offer remains wide, so it may still have a significant adjustment to a Bram Kaplan, CFA

clearing level once the roll becomes active this week. Weaker positioning, (1-212) 272-1215

already evident ahead of Friday’s drawdown, skews the MSCI EM roll toward bram.kaplan@jpmorgan.com

cheapening into expiry. J.P. Morgan Securities LLC

Twinkle Mehta, CFA AC

• The MSCI EAFE roll is indicated moderately rich to fair value. However, roll (852) 2800-7109

liquidity has not yet picked up, so we could see a sizable price adjustment to a twinkle.mehta@jpmorgan.com

tradable/clearing level once the roll spread begins trading more actively later J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

this week. Last quarter, the MSCI EAFE futures roll was well-behaved and Morgan Broking (Hong Kong) Limited

exhibited a near-neutral trend. Investor positioning in EAFE futures appears Davide Silvestrini

little changed q/q, so we expect the EAFE roll to again exhibit a roughly neutral (44-20) 7134-4082

davide.silvestrini@jpmorgan.com

trend, once it establishes a tradable level. J.P. Morgan Securities plc

• The outlook is spot-dependent. An extension of Friday’s sell-off could unwind Daniel Motoc, CFA