M24-U24 Roll Update (CGZ, CGF, CGB & LGB)
Delivery periods for all June 2024 contracts and all contracts going forward are affected by the late May change from T+2 settlement for bond trades to T+1. Any calculations dependent on T+2 should be adjusted to account for this. Two interesting impacts on futures contracts will be: one day less in the active life of a wildcard option, important for CGB™ contracts; and, perhaps, some tendency to delay the beginning of the liquid roll period one day closer to the end of the month.
First notice is May 31st, and the liquid part of the roll period may still begin on May 28th, as it normally would, but could be put off to May 29th since the roll period is always driven by a desire to close positions before notice/delivery dates. Buyers need to meet sellers, not only on price but also on timing of the trade, so we suggest watching for a May 28th start but don't be concerned if there is a one-day delay in comparison to previous quarters as first notice day is now one day later.
