Comment: The UK Treasury yield curve is still extremely steep, ultra-long dated paper slightly less in demand and index-linked very much in vogue (IL 2016 at new record low yield of 35 basis points). Short Sterling calendar spreads continue to narrow (and have further to go) as red months rally to new record highs. Rising open interest across the board suggests that recent consolidation is seen as an opportunity to adjust core positions despite no change in the money market. While ‘channel’ support might break, moving averages should push this contract to new highs later this month.
Strategy: Buy at 98.800; stop well below 98.720. First target 99.000/99.060.
