I often see commentary saying, for example:

‘Last weeks sep/Dec SPX roll VWAP traded at FedFunds + 32bps’ and

‘Dec/Mar SPX rolls currently imply a Year End premium of FedFunds + 49bps.’

But what does the implied funding rate of the roll actually mean?

Does it mean:

with the first example, that implied funding cost for the duration from the day the near contract is rolled til the deferred contact expires, that the implied funding cost for that time period is FF+32bps?

For the 2nd example, how do you extract the year end premium (does this implied funding just cover the year end turn and not the remaining 3 months til expiry of the Mar contract?


  • 1
    $\begingroup$ Personally I roll SPX contracts mechanically on a predetermined date. But some people prefer to monitor the implied financing rate and do the roll when the IFR appears cheap compared to an interest rate banchmark (such as libor, etc.). You can read a little bit about it in this CME memo cmegroup.com/education/files/S-and-P-500-Implied-Financing.pdf $\endgroup$
    – nbbo2
    Oct 24, 2022 at 15:46
  • $\begingroup$ I assume by 'year end roll' they just mean the last roll of the year, since Dec contract expires at 8:30am December 16, 2022 so it must be rolled before then, well ahead of the year end on Dec 31. It would cost 49 bps to do the roll now, they are saying. if you don't like it you can wait to see if it goes lower. We still have plenty of time. I will be doing my roll on Dec 9 regardless. $\endgroup$
    – nbbo2
    Oct 24, 2022 at 16:07


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