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Using CME Group's Equity Quarterly Roll Analyzer to Monitor the Equities Market

A confluence of market shaking events have come together to introduce significant volatility in the domestic equity and other markets in recent months.  These events include the European sovereign debt crisis, the ongoing fiscal debate in the U.S. and a general shift in the nexus of economic activity from the developed to the emerging economies.

This article is intended to review this situation and discuss how one may monitor it using CME Group’s Equity Quarterly Roll analyzer.

This article examines:

• Calculating Roll Value
• Positive and Negative Carry
• Implicit Financing
• Most Recent Roll