Rolls Euribor / ED

[legged]

Is it a general assumption to assume that going into expiration this coming Monday that across both the strips that the spreads 3,6,12 month in general will sell off ?.

This has recently happened in our Strip in Australia 90 day bank bills with the recent expiry .

Thanks

 

[Martinghoul]

Why would this be a general assumption?

 

[legged]

Why would this be a general assumption?

I am not making any assumptions here just trying to get my head around it .

I mean as a rule would spread narrow ? correct me if I am wrong .

 

[Martinghoul]

I am not making any assumptions here just trying to get my head around it .

I mean as a rule would spread narrow ? correct me if I am wrong .

Nah, the fact that the first future matures doesn't, a priori, have any implications on the rest of the strip. These are not physical-settled, so it's not like there's delivery implications.

 

[legged]

thanks for that , noteable difference between that and say commodity