Let’s start with a recap of what’s happened in the marketplace.

Looking at ES calendar spread prices and the implied financing richness or cheapness to 3-month SOFR, you’ll see that this was the richest June roll going back to at least 2007. The implied financing level for the June roll was 81 bps over 3-month SOFR.

A second observable level is the AIR TRF financing spread to the overnight Effective Fed Funds Rate (EFFR) for different tenors of futures. Figure 2 shows the shift upwards in the curve to the end of June, both from 3 months prior and from the end of May.

The magnitude of the increase is significant across the entire curve. For example. the July 2026 contract (ASTN6) saw a 90.5 bps move in just onemonth, and a 128.5 bps move versus three months earlier. At a slightly longer-dated tenor of December 2026 (ASTZ6), the curve has moved up by 23 bps since the end of May, and longer- dated annual tenors, by 8 to 15 bps. The curve is suggesting that financing is close to 100 bps or more in excess of EFFR for every tenor (i.e. the whole curve) as at the end of June.

Capital efficiencies matter to the marketplace. Figure 4 below shows how from 2025, the capital efficiencies provided by our Equity products, through either margin offsets between CME Group products or those available via the CME-OCC cross margin program, have increased by roughly a third from the average amount realized in 2025 ($32.9 billion) to the average amount received in Q2 2026 ($43.5 billion).

Source: CME Group

This rapid increase in positioning – which is reinforced by a record level of large open interest holders (LOIH) in our Equity products at the start of June² – demonstrates how clients are seeking to gain exposure to equity markets via capital-efficient products like futures and options. Clients are looking to optimize their balance sheet as much as possible to ensure the capital they have available provides the flexibility to allocate to U.S. equities as demanded by their portfolio mandates.

Clients can potentially look to extract the implied financing levels by implementing index arbitrage/carry trades. They can achieve this by selling the futures (ES or AIR TRF) and then hedging by going long with a fully funded alternative such as the underlying basket of stocks or an S&P 500-based ETF. This essentially provides an additional source of balance sheet to the marketplace.

Alternatively, clients can take a view on the shape of the financing curve by trading futures across two different tenors, and look to benefit from either a steepening or flattening in the curve. This trade is often implemented via the AIR TRF product. As Figure 2 shows, the curve flattened especially at the short end as indicated by the yellow line (June 29 curve) versus a starting point of the darker blue line (Mar. 31). This trade is capital efficient due to substantial margin offsets (circa 97%), and therefore it generally relies on relatively small shifts in the curve shape to potentially be profitable.

The trading opportunity or need to hedge this risk can be seen through activity in AIR TRFs with average daily volume in excess of 100,000 contracts (over $40 billion daily notional) between June 8–June 17. For context, this is roughly 3x the ADV seen during 2026 YTD, which is having a record year overall with volumes up 33% vs. 2025. As more clients become familiar with the product, they’re adopting them and becoming increasingly active with the opportunity created by the current set of conditions. As a result, open interest has risen to over 1 million contracts, which is well over $400 billion notional as of the end of June.

There are several factors likely contributing to the heightened levels seen in the U.S. equity financing market, but they all contribute to the same underlying theme - balance sheet scarcity due to bullish positioning in U.S. equity markets. 

Clients globally are long U.S. equities, whether it be through stock positions or derivatives like futures, options, swaps, levered ETFs and so on. . This concentration in direction, alongside the need to source additional room in the portfolio to allocate to IPOs such as SpaceX, has helped drain the capacity on liquidity providers’ (hedgers’) balance sheets.

Why? This crowded position means that, for any derivatives that offer capital efficiencies, the sellers are typically hedging or recycling that position somewhere along the supply chain with fully funded stocks or ETFs. Eventually, the marginal client looking to go long via a capital-efficient derivative causes the pricing to reflect a higher cost of rent in terms of balance sheet usage – i.e., the implied equity financing level goes up.

When there is lots of spare capacity, the marginal trade has little impact;  when balance sheets are stretched, however, each additional long trade may result in higher implied equity financing unless new supply can be sourced. If supply was abundantly available, participants would look to arbitrage out the elevated financing levels in the manner described in the preceding section.

This is the magic question, but as of the start of July 2026, the demand for equity financing persists. Unless there is a reversal in clients’ appetite for U.S. equities, this environment is unlikely to change. The typical pattern, if this lasts another few months, is that equity financing levels richen into year-end – an important balance sheet accounting snapshot, where suppliers of balance sheet typically are stringent in how much they can deploy. Thus, the second half of 2026 could be even more interesting from an equity financing level perspective than the first half.

1. CME calculations without OCC verification
2. CFTC data for week of June 02, 2026