U25-Z25 Roll Update (CGZ, CGF, CGB & LGB)

August 21, 2025   |   
Author: Kevin Dribnenki

Roll update U25 Z25

September futures contracts face first notice August 29 and first delivery September 2, following the Labour Day holiday. The holiday timing prompts early roll trades as managers and dealers attempt to close September contracts ahead of schedule, creating optimal liquid roll dates between August 25 - 27. The holiday period typically creates more volatile roll pricing as market participation shifts. Additionally, futures have been trading rich to bonds since July, further complicating execution. Timing options will be active for CGZ and CGF contracts this quarter.

READ ARTICLE

Related Articles

  • H26-M26 Roll Update (CGZ, CGF, CGB & LGB)
    February 19, 2026
    Canadian bond futures H26/M26 analysis indicates that algorithmic models are driving open interest to near all-time highs following the mid-December reversal. With CORRA rates around 2.28%, early delivery remains rare, creating a clean roll environment with multiple opportunities. The 5-year point offers an attractive 14.4 bp annual rolldown, while contract-specific volatilities create distinct trading dynamics: CGB rolls remain stable, CGF shows 10.6% DV01 extension instability, and CGZ faces potential 2-cent intraday swings with 14.2% DV01 extension.
    FTSE Canada Bank Credit Index Futures (BCS): An innovative Index and Futures contract design
    March 9, 2026
    An innovative exchange-traded tool for isolating and managing Canadian corporate credit exposure.
  • Futures Market Forecast 2026
    February 2, 2026
    Futures markets, unlike most financial markets, can be predicted with high confidence by analyzing delivery basket formulas and interest rate trajectories. This 2026 forecast reviews anticipated basis levels, delivery dynamics, and trading trends for Canada's fixed income futures as central bank policies stabilize.

TMX Group Limited and its affiliates (the “TMX group of companies”) do not endorse or recommend any securities issued by any companies identified on, or linked through, this site. Please seek professional advice to evaluate specific securities or other content on this site. All content (including any links to third party sites) is provided for informational purposes only (and not for trading purposes), and is not intended to provide legal, accounting, tax, investment, financial or other advice and should not be relied upon for such advice. The views, opinions and advice of any third party reflect those of the individual authors and are not endorsed by the TMX group of companies. The TMX group of companies have not prepared, reviewed or updated the content of third parties on this site or the content of any third party sites, and assume no responsibility for such information.

Copyright © 2026 Bourse de Montréal Inc. All rights reserved.
Canadian Derivatives Exchange is an official mark of Bourse de Montréal Inc.