E-mini Russell 2000® Index futures (RTY) liquidity continues to build at CME Group, as the products surpassed 11,000 ADV and 12,000 OI in the first month of trading. On 17 August, more than 33K RTY contracts traded.
The Sep-Dec futures roll begins 28 August and runs through expiration on 15 September.
Trading the Sep-Dec roll is one way clients can move their Russell 2000 futures positions from ICE to CME. A market participant who is currently long Russell 2000 futures at ICE can use the “roll” to transition their position to CME contracts. This is most easily done by trading the roll in the CME Sep/Dec calendar spread and holding the existing contract at ICE until expiration.
The resulting set of September futures, long at ICE and short at CME, would be equal in size and opposite in direction and will both expire against the same index price on the date of the September futures expiration (September 15, 2017). There is no price risk at expiration and the client may let them expire in an offsetting fashion. Once the September contracts have expired the client’s remaining position is the long December futures which would be in the CME contract.
Note the same logic can be applied if a client is currently short Russell 2000 futures on ICE. In this case, one would trade the roll in the other direction, buying the September contract at CME whilst selling the December contract with CME.
If you would like further information, please contact CME Group firstname.lastname@example.org.