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Roll Overview

AUSSIE BONDS

A quick overview of the rolls since smaller tick increments went into play:

  • YM: ~431K lots have changed hands, mostly between 20.6 and 22.2, moving higher with a 122K/309K split of hits and lifts. Market last 22.0/22.2, with open interest in XMH2 & XMM2 standing at ~959K &~179K, respectively.
  • XM: ~760K lots have changed hands, mostly between 5.7 & 6.2, manging a modest move higher, even with a 402K/358K split of hits and lifts evident. Market last 6.1/6.2, with open interest in XMH2 & XMM2 standing at ~1.159mn &~321K, respectively.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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