US Equity Futures Watch

This report provides an update on equity index futures roll costs and volumes for the US market, focusing on S&P 500 e-mini contracts as of June 10, 2026.

Key Takeaways

• 1.The S&P 500 e-mini futures roll traded 75bps (VWAP) on June 10, with a volume-weighted roll cost of 69bps for the quarter.
• 2.Total notional volume of S&P 500 ES futures rolled this quarter reached $109.9bn.
• 3.Roll progress shows approximately 6.9% of S&P 500 e-mini contracts have rolled to Sep-26, trailing the one-year average pace of 10.2%.

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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