At Any Rate Global Rates: Analysing Eurex and US futures roll
May 19, 2025
Dive into the dynamics of bond futures as experts discuss the critical upcoming roll between U.S. and Eurex contracts. Explore how market positioning and the role of asset managers shape trading strategies. Unpack the complexities of calendar spreads and the impact of trade dynamics, especially in the bullish German market. Plus, discover the intriguing world of wildcard options and their relationship with delivery timelines and market volatility, offering traders fresh insights into future funding trends.
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US vs Eurex Futures Delivery
- US Treasury futures have a month-long delivery period, while Eurex futures only have one delivery date.
- This makes wildcard optionality less relevant for Eurex futures compared to US futures.
Asset Managers Drive US Futures Positioning
- Asset managers avoid delivery risk by rolling futures early due to policy, influencing bearish calendar spreads.
- They are net long across the curve, impacting ultra-long bond, 10-year, and 5-year futures contracts.
Estimating Eurex Futures Positioning
- Eurex futures positioning is estimated by price and open interest moves due to lack of CFTC data.
- German futures are broadly long with more length in 10-year contracts, reflecting current steepness preference.