H26-M26 Roll Update (CGZ, CGF, CGB & LGB)
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.
