Take a look at the dials. You can quickly see spreads have been narrowing over all as activity picking up. June options will be expiring tomorrow and as more activity rolls into July, August, and Sep. options traders will be putting more positions from the currently more liquid June Futures into September. Accutic alerts can help keep abreast of this activity. To download the alerts go to www.accutic.net
2yr. Calendar clocks are rendered in the alerts but omitted here for brevity's sake. To update the 2yr. calendar spread settled at a 16 tic differential after wednesdays session. Open interest in the June contract is 495,297 down 12.132. Open interest in Sep. is 71,180, up 32,532. Range of the spread has been 17.5 to 15.7.
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