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BUNDS: The fast upward move in the Bund contract led to a decent outperformance
by the CTD into the Bund contract, the 0.5% Aug-26.
- The butterfly spread between the CTD (Aug-26) and the Bunds 0.5% Feb-25/0.5%
Aug-27 went from +9.6bp at end-July to 8bp on Friday.
- As the strong buying has reversed today, that same butterfly spread has
reversed smartly from 8bp to 8.6bp i.e. taking back almost half of CTD rally.
Little doubt that the butterflies including the CTD are quite directional.