Email of the day (2)
Comment of the Day

December 06 2011

Commentary by Eoin Treacy

Email of the day (2)

on the gap evident on the UK Gilt futures continuation chart:
"On the chart of UK Gilt Futures (1st mth) the price seems to drop very sharply from 131 to 113, is there an explanation for this? Any help much appreciated."

Eoin Treacy's view Thank you for this question which was also addressed in Comment of the Day on December 1st. The continuation chart has rolled with the most active contract which is now March. There is a wide backwardation between the December and March contracts which explains the 'step' in the price action. The reason for the price difference is a coupon change in the reference instrument from 6% to 4%. The corresponding yield chart is more reflective of the market action.

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