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Gilt roll trades higher

  • Gilt spread is 12 ticks higher vs yesterday's settlement (179 vs 167), volatile given the low liquidity.
  • Rolling into the March contract should start to pick up into Thursday/Friday.
  • So far just under a third of the front Month volume is spread related.
  • The spread has traded ~11.3k outright, with 14.3k lots in the March contract.

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