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1、GlobalQuantitative&DerivativesStrategy10June2019MSCIFuturesRolloverOutlookJune-September2019·TheMSCIEMrollistradingverycheaptofairvalue,nearitscheapestrollcostoverthepast5years.PositioninginEMfuturesappearstohavedeterioratedsignificantlythisquarter,sowebelievetheEMrollissligh
2、tlybiasedtowardscheapeningintoexpiry;however,muchofthisdeteriorationinpositioningmayalreadybepricedinandtheextentoffurthercheapeningcouldbelimited.TheEMrollfacesbinaryrisksfromtradeandtheFed,asdiscussedinourUSRollOutlook,andcanmoveonmajornewsoneitherfront.TheEMrollalsofacesri
3、skduetodividendconcentrationthisquarter,withmostofthesedividendscomingfromcompaniesinChinaandTaiwan.·TheMSCIEAFErollistradingcheaptofairvalue;however,therollhasbarelybeguntotradeandopeninterestontheSeptemberfuturesisclosetozero,sotherecouldbeasizablepriceadjustmentoncetheroll
4、spreadbeginsactivelytradinglaterthisweek.Investorpositioningininternationaldevelopedmarketequitiesappearslittlechangedtoslightlyworseoverthepastquarter.Wethusbelievetherollpositioningisneutraltoslightlybiasedshort,andtherollwillmostlikelyberelativelyuneventful(intheabsenceofa
5、majorcatalyst)withaslightcheapeningbiasthisquarter.·ForotherliquidregionalMSCIJun-19/Sep-19futuresrolls:MSCIEuropeNTR(ZRPA)rollcurrentlytradesatasmalldiscount,inlinewith2Q-4Q18levels.Ontheotherhand,MSCIEMAsiaNTR(ZTWA)rollcostisquitediscountedcomparedtothepast2years.MSCIWorldN
6、TR(ZWPA)rolliscurrentlytradingataslightlynarrowerdiscountcomparedtolastquarter,butremainscheapvs.historicallevels.·AmongliquidcountryMSCIcontracts,MSCISingapore,TaiwanandIndonesiarollsalltradedatlowerpremia/higherdiscountscomparedtofairvalueinMay2019.Theweakernetlongdemand(as
7、reflectedbycheaperrollcost)isin-linewiththeregionaltrendinAsiaPacific,asEMoutflowsandfragilesentimenttakeatoll.·InvestorscanalsofindrollcolorinourregionalFuturesRollOutlooksatthefollowinglinks:USRollOutlook,EuropeanRollOutlook,JapanRollOutlook,andKOSPI200RollOutlook.GlobalQu
8、antitativeandDerivativesStrategyBramKaplan,CFAAC(1-212)272-1215bram.
