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.

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