The IMM Roll for Swaps – What is it and what are the volumes?
Every quarter, monthly SEF volumes are distorted artificially higher by IMM roll activity. What is it and how can we identify the trades? The History of the IMM Roll The International Monetary Market (IMM) was a division of the CME back in the 1970s. There is a great essay here for the history buffs. In … Continue reading The IMM Roll for Swaps – What is it and what are the volumes?
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