Background
Credit futures (tickers: IQB, HYB, DHB, DHY) from CME Group are quarterly contracts that expire on the third Wednesday (IMM Wednesday) of March, June, September and December. The roll period takes place over the one to two weeks leading up to the last trade date (LTD), which is the trading day prior to expiry on IMM Wednesday.
Roll liquidity
The roll can be traded either electronically or bilaterally through blocks.
- Electronic trades: Roll markets are available for the 10 trading days leading up to the LTD, with the December 2025 roll often quoted at minimum tick.
- Block trades: The minimum block threshold is 50 contracts total (at least 25 contracts per leg). View our Block Market Maker Directory to find liquidity providers.
The charts below show average daily book depths and bid-ask spreads for each contract over the December 2025 roll period, measured during the most liquid hours (10:00 a.m. to 3:00 p.m. CT).
Richness or cheapness of the roll
Market participants typically evaluate the richness or cheapness of the roll by examining the financing rate implied by market prices to choose the optimal roll timing.
- Calculation tools: The fair value and implied financing rate of the roll can be calculated using our Credit Futures Analytics tool or the Bloomberg FAIR function.
- December 2025 findings: The chart below compares the implied financing rates (using daily settlement prices) to the Three-Month SOFR OIS rate as a benchmark. The roll was generally cheap for IQB and DHB, consistently tracking below the Three-Month SOFR OIS rate, while the richness/cheapness of HYB and DHY varied.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.