At Any Rate Global Rates: Analysing Eurex and US futures roll
Feb 13, 2026
Ipek Ozil, Head of U.S. Interest Rate Derivatives Strategy at J.P. Morgan, offers concise market perspective. She breaks down U.S. futures positioning and Fed expectations. She reviews delivery optionality and why switch risk looks muted. Short, markets-focused conversation on roll drivers and positioning across U.S. and Eurex futures.
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Concentrated Longs In U.S. WN Sector
- U.S. asset managers show extreme net-long concentration in the WN sector ahead of the roll.
- Ipek Ozil warns this unusually high long positioning can pressure calendar spreads narrower as managers roll early.
Factor In Increased Market Depth
- Account for increased market depth when assessing roll pressure this cycle.
- Ipek Ozil suggests deeper market liquidity should mitigate some positioning imbalances during the roll.
Longs In BTPs And Schatz; Bunds Slightly Short
- Eurex positioning estimates show record-long BTPs and long Schatz, while Bund 10s are slightly short.
- Khagendra Gupta links these estimates to client surveys and Europe carry/relative-value demand.