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

  • H26-M26 Roll Update (CGZ, CGF, CGB & LGB)
    February 19, 2026
    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.
    Futures Market Forecast 2026
    February 2, 2026
    Futures markets, unlike most financial markets, can be predicted with high confidence by analyzing delivery basket formulas and interest rate trajectories. This 2026 forecast reviews anticipated basis levels, delivery dynamics, and trading trends for Canada's fixed income futures as central bank policies stabilize.

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.