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Emini spread makes a new high

EQUITIES
  • US Roll is picking up and seeing some selling interest, as noted during the Morning European session, the ESH4/ESM4 was trading at its highest level and has just now tested a new high of of 64.25.
  • Looking at volumes, would suggest that around a third of the front Month volume in ESH4 is spread, outright and on legs, and despite some selling in the spread, it remains at the highs, with the dominating flow to the buy side.

Chart source: MNI/Bloomberg.

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