On September 11𝑡ℎ, we expect the 10-Year calendar spread to cheapen by another tick with a probability of 52%. We expect the 3-Year calendar spread to also cheapen by one tick with a probability of 55%. (Based on Sept 2020)

We are issuing our first update for Long-Term BTP for the ongoing December to March 2021 (Z0 to H1) roll. The expiration date of the near contract is December 8th and our forecast is issued with reference to the settlement prices of December 1st.

We are into the first week of the ongoing Long Gilt future roll period and the calendar spread has richened by seven ticks since the start of the roll period. Our forecast based on our model is bullish relative to the beginning of the roll period. (Based on Dec 2019 data)

Every roll period we issue a forecast specific to CME’s Interest Rate contracts, including the 2-Year, 5-Year, 10-Year, 30-Year and Ultra Bond.

We use end of the day settlement prices provided to us by LIFFE exchange since 2014 to forecast the change in the calendar spread during the roll periods of Long Gilt futures(exchange symbol R).

Using the end of the day settlement prices from 1980 – 2018 of U.S. Treasury futures, we study the characteristics of the calendar spread around the roll periods.