The US rolls are trading rich to fair value and roughly in line with the last two  quarters’ average roll costs. S&P 500 futures investor positioning appears tilted  long again this quarter as dealers remain near-record short futures. Given the  large amount of balance sheet currently in use for equity financing markets,  there is risk that banks could begin to pare down exposures in advance of yearend,  limiting  supply/liquidity provided to long rollers this quarter. 

 We expect the S&P 500 roll to richen into expiry given these demand/supply  dynamics and believe the Nasdaq roll is biased to richen given its typically  strong correlation to the S&P 500. However, we look for the Russell 2000 roll  to cheapen into expiry due to a deterioration in positioning over the past  quarter, but we wouldn’t deviate roll timing too far from liquidity patterns given  the potential for positioning to rebound during the roll period.