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