At Any Rate Global Rates: Analyzing Eurex and US futures roll
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Nov 18, 2025 In this insightful discussion, Ipek Ozil, Head of U.S. Interest Rate Derivatives Strategy at J.P. Morgan, joins Khagendra Gupta to delve into the intricate world of US and Eurex futures. They explore the drivers behind U.S. futures roll and share perspectives on the December 2025 to March 2026 bond rollover. Ipek sheds light on funding rates, emphasizing the impact of missing CFTC data and the importance of optionality in bond futures. Their conversation reveals the complex interplay between market dynamics and positioning analysis, making it a must-listen for finance enthusiasts.
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Funding Rates To Stay Range-Bound Pre-Data
- Ipek Ozil says US funding rates are likely to remain range-bound until fresh data arrives after the shutdown.
- She expects potential volatility once data resumes but is neutral on funding-rate-driven impacts to calendar spreads for now.
Be Cautious When Positioning Data Is Missing
- Ipek advises caution because missing CFTC positioning data limits conviction on US rolls and they relied on month-end snapshots.
- She also notes improving US liquidity should prevent large technical imbalances from dominating rolls.
Eurex Positioning Reconstructed From Market Flows
- Khagendra Gupta explains their European positioning reconstruction using open interest and price changes with RV adjustments.
- Their model shows reduced shorts in Eurex since the last roll and modest long exposure in 10-year BTP futures.