There was light early buying for the market which enabled Oct’24 to nudge back above 19.00, however once the necessary hedge cover had been taken against weekend sales the price eased back towards unchanged. Outright volume was proving to be light with smaller traders having reduced their exposure to the market further over recent sessions, illustrated through Fridays COT report which showed the spec position reduced to -8,734 lots net short, a token offering by that sector. The rest of the morning saw prices drop back to sit in front of 18.80, with more losses following during the early afternoon when day traders applied pressure to investigate the downside. There remains a chat gap from the recent rally between 18.50/18.43, however there was no sign that this would be filled with the decline bottoming out at 18.60 having found some support from end user pricing scales. With the index roll in full swing the bulk of the volume was being traded in the Oct’24/March’25 spread where a volume of around 66,000 lots was registered, representing a large percentage of the overall as the spread firmed to -0.28 points. Smaller traders covered back shorts during the final hour as Oct’24 ended the session at 18.83, still firmly confined to the range.
Oct’24 traded as high as $535.70 on the opening however there was only limited buying on show and soon the price dipped back into the red with the early stages playing out in the lower $530’s. Volume was moderate outside of the ongoing repositioning of Oct’24 positions ahead of Fridays expiry, and though there is scale interest in place beneath the market a lack of any other buying led values to continue eroding as the afternoon developed. Alongside the lower flat price there were also some losses being seen for the spread with Oct/Dec’24 working down to $8.50 intra-day, though the larger movements were being seen for the white premium with losses for the whites being greater than for No.11. The flat price fell to session lows at $523.50 having eroded through the scale buying over several hours, and though there was a rally during the later stages against position covering an Oct’24 settlement value at $526.50 left the premium at $111.40, a loss of more than $4.50 for the day. Oct’24 open interest of 25,691 lots suggests that there remains more rolling to follow later this week as trader’s tidy positions ahead of expiry.
