JPMorgan-US Equity Futures Rollover Outlook September - December 2024-110249808

Global Quantitative & Derivatives Strategy09 September 2024J P M O R G A Nwww.jpmorganmarkets.comGlobal Quantitative and Derivatives StrategyBram Kaplan, CFA AC(1-212) 272-1215bram.kaplan@jpmorgan.comDaniel Motoc, CFA(1-212) 622-0105daniel.motoc@jpmchase.comJ.P. Morgan Securities LLC•The US Sep-Dec rolls are again trading rich, though moderately cheaper than last quarter, given still elevated investor positioning and constrained dealer balance sheets. •The main risks for roll spread levels this quarter are rates and spot moves, and these are likely to overshadow the impact of any richening/cheapening in financing for the US contracts, in our view. Given uncertainty on rates and spot, we would advise futures traders with a price-based benchmark to generally roll in-line with volumes this quarter.•Interest rate risk is high due to uncertainty on the pace of Fed rate cuts, with market pricing split between 25bp and 50bp cuts in each of the next two meetings. Pricing for this month’s rate change should converge to a whole multiple of 25bp by the time the policy decision is announced on Sep 18th, and incoming data releases (e.g. CPI on 9/11) can shift expectations in the interim. Additionally, equity market volatility increased recently as markets appear on edge around the outlook for growth, labor markets and the Fed. Elevated short-term rates continue to cause the roll spreads to have high spot dependency.•On the financing side, we believe the US equity futures rolls are slightly biased to richen into expiry given the elevated positioning that could push implied financing levels higher as long rollers seek liquidity over the next two weeks. However, risks are two-way and even if our base case view for a richening materializes, we wouldn’t expect a large upside move.•The MSCI EM roll could again see its volumes compressed into the earlier part of the roll period due to exchange holidays during expiry week. Roll cost progression for the S&P 500 Sep-Dec 2024 futures rollSource: J.P. Morgan Equity Derivatives Strategy.See page 39 for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.US Equity Futures Rollover OutlookSeptember - December 20242Bram Kaplan, CFA AC(1-212) 272-1215bram.kaplan@jpmorgan.comGlobal Quantitative & Derivatives Strategy09 September 2024J P M O R G A NTable Of ContentsCurrent Quarterly Roll Environment . . . . . . . . . . . . . . . . . . . . . . .3Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3Rates Outlook. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7S&P 500 Roll. . . . . . . . . . . . . . . . . . . . . . . . . .