This post just an update on open interest. As you can see decent amount of trades yesterday involved getting out of Dec. positions and into Mar. 11 futures. Dec. options expire this Friday and first notice day is one week from today which is Tuesday the 30th.
| 11/22/2010 | |||||
| Calendar Rolls | Calendar | Rolls | |||
| US | US | ||||
| Swiss B | S | 1,000 | USZ/H | 0.52 | |
| JP Morg | B | 2,000 | USZ/H | 48.7 | |
| Contract | Volume | OI | Chng. | ||
| USZ | 325K | 534K | down 31,175 | ||
| USH | 69K | 93K | up 3,302 | ||
| TY | |||||
| Gold | B | 2,000 | TYZ/H | 0.3 | |
| Morg St | B | 1,000 | TYZ/H | 0.31 | |
| Citi | B | 1,700 | TYZ/H | 0.31 | |
| JP Morg | B | 1,000 | TYZ/H | 31.5 | 12422 5% |
| CSFB | B/S | 4,700 | TYZ/H | 30 | 12428 5% |
| Morg St | B | 2,000 | TYZ/H | 0.3 | |
| Contract | Volume | OI | Chng. | ||
| TYZ | 1 million | 1.35 mln | down 37,508 | ||
| TYH | 127K | 167K | up 55,555 | ||
| FV | |||||
| Swiss B | B | 5,000 | FVZ/H | 2.37 | |
| Citi | S | 8,000 | FVZ/H | 23.3 and 23.5 | |
| Mann | B | 2,000 | FVZ/H | 23.7 | |
| Morg St | B | 4,700 | FVZ/H | 23.7 | |
| Contract | Volume | OI | Chng. | ||
| FVZ | 577K | 1.004 mln | down 60,736 | ||
| FVH | 110K | 153.9K | up 75,075 | ||
| TU | |||||
| CSFB | B/S | 4,700 | TUZ/H | 0.27 | |
| Swiss B | S | 2,000 | TUZ/H | 0.27 | |
| Merril | B | 2,000 | TUZ/H | 0.27 | |
| Morg St | S | 3,000 | TUZ/H | 0.27 | |
| Contract | Volume | OI | Chng. | ||
| TUZ | 279K | 534K | down 48614 | ||
| TUH | 108K | 93K | up 65467 | ||
| Ultra | |||||
| Contract | Volume | OI | Chng. | ||
| ULZ | 69K | 271K | down 17,888 | ||
| ULH | 34K | 54K | up 25,822 | ||
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