QUIKSTRIKE

Equity Quarterly Roll Analyzer
GUIDE TO GETTING STARTED

Each quarter during the roll period, CME Group’s Equity Quarterly Roll Analyzer is populated with the current futures calendar
spread market information to help you track the progress of the roll market.
The analyzer will typically begin to populate on the Monday three weeks prior to the quarterly Friday contract expiration date1.
To access the tool, visit CMEGroup.com/rollpace and complete the registration form. The home screen default view shows Volume
Weighted Average Price (VWAP) and average implied financing rate for E-mini Index futures for broad market indexes each day.
Tabs across the top allow you to toggle between similar views for E-mini S&P Select Sector futures, Nikkei 225, and TOPIX futures.

1

Note: Nikkei 225 and TOPIX futures expire one week prior to other Equity products featured within the toolNavigation within each grouping – E-minis, S&P Sectors, Nikkei 225, TOPIX – allow you to drill down into product-specific pages.
Click to toggle between pages within the sub-navigation. To return to the summary page, simply click on the Summary tab again.

Each product-specific page is divided into four quadrants. To show the pace of a prior period, use the “Historicals” drop-down inthe middle-right of the grid.
• The top-left quadrant presents a numerical summary for VWAP, implied financing rate, roll volume, the 3M SOFR2 benchmark
assumption3, forward dividend point assumption, and the implied financing rate as a spread to 3M SOFR.
• The top-right quadrant shows the implied financing rate and roll volume over the coverage period. You can toggle between theimplied financing rate and the rate spread vs. 3M SOFR.
• The bottom two quadrants show the pace of the roll for both the standard-sized contract (on the left, if it exists) and the E-mini
contract (on the right). The solid red line represents the current percentage Open Interest (OI) in the deferred month as of aparticular date. The solid black line represents the historical average of the same quantity over the last three years at the samepoint in the roll period. The blue shade covers the middle 75% range of the data from the last three years.
The Trading Days to Expiration on the horizontal axis represent the final days that the contract will trade prior to the roll. While
Friday is the contract expiration date, “0” represents the last full day that the contract will actively trade (e.g., Thursday).
The drop-down box immediately above the E-mini Pace of the Roll chart allows you to display to the roll charts from prior periods.
Likewise, the buttons on the left allow you to toggle between roll charts and some intra-day pricing data. In the top right corner of
each chart, there is a maximize/minimize icon for switching the chart between full screen width and default width.

23M SOFR in this guide represents the interest rate implied by the CME Group Three-Month SOFR futures with the corresponding contract month.

3Beginning with the Q4 2022 roll period, the Equity Quarterly Roll Analyzer Tool began using Three-Month SOFR benchmark (instead of Three-Month LIBOR).

Intra-day Data
If you toggle to intra-day data, the VWAP and roll volume by the hour is shown in the bottom left quadrant, while the volume byprice appears in the bottom right quadrant. To select a different date, click on the row in the top left quadrant, or the volume barin the chart in the top right quadrant. The hourly data are limited to each hour beginning at 8:00 a.m. Central Time.

Footnote

A Closer Look at the Calculation
The Three-Month SOFR assumption in the table is derived by interpolating the SOFR curve to the exact dates between the index
futures expirations4.
This number only serves as a benchmark against which the implied financing rate is judged. To change the assumption, type overthe number; once you do so, the box will show a dark yellow background.
To change the dividend assumption, use the +/- button next to the dividend column header. This allows you to increase or
decrease the entire column by, for example, 15%.
Finally, to change the VWAP number, type in the (average) price of a spread trade, for example, to convert it to the implied
financing rate

To restore the default numbers in the table, hit the clear button at the top right corner of the pace of the daily calculation table.

4To be more exact, the period between the two futures expiration is defined as the third business day from the front month index futures expiration to the third
business day from the deferred month index futures expiration.

Nikkei 225 Futures
There are two versions of the Nikkei 225 Index futures at CME Group, yen- and USD-denominated futures. The former is the naturalversion, while the latter is the “quanto” version. The implied financing rate is calculated for the yen-denominated version, while theimplied correlation is calculated for the USD-denominated version. You might type over the exchange rate and index volatility
assumptions.
In the bottom two panels, toggle between the pace of the roll charts and the volume vs. implied financing/correlation charts.

To access the Equity Quarterly Roll Analyzer, visit CMEGroup.com/rollpace.
For questions related to the tool or any CME Equity Index products, contactequities@cmegroup.com.

cmegroup.com
Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract’s value is required to trade, it is possible
to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of
those funds should be devoted to any one trade because they cannot expect to profit on every trade.
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The information within this presentation has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Although every attempt has
been made to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are
hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules andspecifications herein are made subject to and are superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.
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