U24-Z24 Roll Update (CGZ, CGF, CGB and LGB)

August 20, 2024   |   
Author: Kevin Dribnenki

September contracts face unique challenges due to the National Day for Truth and Reconciliation. The roll period begins earlier, with first notice on August 30th and last delivery on September 27th. Currently, overnight repo rates exceed CTD coupons, causing negative carry for long basis positions. This may shift for the December CGZ contract amid Bank of Canada expectations. Other contracts will follow suit later. Short futures positions likely deliver early, barring wildcard option strategies. Contrary to predictions, CGB wildcard option players continue to participate profitably, defying expectations.

READ ARTICLE

Related Articles

  • 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.
    M26-U26 Roll Update (CGZ, CGF, CGB & LGB)
    May 21, 2026
    The M26 roll window opens around May 26, coinciding with U.S. Memorial Day. Early delivery is unlikely across all contracts, though CGZ (2-year) shorts may deliver early to improve capital efficiency. Wildcard options have minimal value. The roll will pit price-sensitive traders against each other, with fewer price-insensitive portfolios involved.
  • Liquid CRA: Great development for 2026 trading
    June 1, 2026
    A significant upgrade to CORRA futures liquidity at the Montréal Exchange just gave managers the precision tools to execute event-driven trading strategies where it matters most.
    Deep Dive into Switch Risk
    April 15, 2026
    This article discusses the switch risk associated with the Cheapest-to-Deliver (CTD) bond and examines why it is consistently minimal in Canadian fixed income futures contracts.

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.