US Equity Futures Watch

This report monitors the intraday roll costs for US equity index futures, specifically tracking S&P 500 E-mini contract activity as of June 8, 2026. It highlights that the S&P 500 roll traded at 75bps rich to SOFR with significant quarterly volume.

Key Takeaways

• 1.S&P 500 e-mini futures roll cost traded at 75bps rich (VWAP) to SOFR on June 8th.
• 2.Total notional volume of S&P 500 ES futures rolled for the current quarter reached $67.6 billion.
• 3.Open interest indicates 3.9% of E-mini S&P 500 contracts have rolled to June 2026, below the one-year average of 5.2%.

Table of Contents

• Roll Cost Methodology
• Intraday Roll Cost Calculation
• Volume Weighted Average (VWAP) Roll Cost Calculation
• Notional Volume Calculation
• Disclosures

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