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***Dissecting the leap in Gilt open...........>

GILTS
GILTS: ***Dissecting the leap in Gilt open interest that we spoke of earlier. We
now have an extra day's OI data show a massive 17.5% in the past week now.  We
posted this trade on Wednesday (for which the OI data are rising): 
- "GILTS: Seeing Sep/Dec Gilt roll given at 1.01 in a total of nearly 50k in
last 30 minutes or so, market finally goes 1.00/1.01." 
- Sources tell us that the Gilt calendar roll is very rich but it appears that
Sep-Dec roll trade seen on Wednesday was an 'active' and open trade rather than
a switch from Sep to Dec. So at some point, a reverse of that large trade is
likely and may yet hold up the decline in the roll. 
- Our MNI-Pi indicates that Gilt positioning is fairly flat now. 

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