H25-M25 Roll Update (CGZ, CGF, CGB and LGB)
Key changes have emerged in futures and basis markets this quarter. Notable shifts include positive basis trading in some markets and anticipated late-delivery preferences for short positions. Positive carry is diminishing wildcard option values, particularly in CGZH25 and CGFH25. March futures' first notice is February 28th, 2025, with delivery on March 3rd. The March-to-June roll is expected between February 25-27th. With overnight repo at 3.02% (projected at 2.8% by June) and CTD bonds' coupons between 2.75-3%, timing options are particularly sensitive to monetary policy this quarter.
