Analysis of the November 24-27 futures roll period for CGB, CGF, CGZ, and LGB contracts. First notice: November 28; First delivery: December 1. With CORRA rates at 2.26-2.27%, December contracts are expected to trade at a positive gross basis.
Expect significant selling pressure in front versus back contracts during the clean roll window, creating opportunities for relative value traders given the substantial buildup in open interest.
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