In what appeared to be some MF Global related activity, MGEX premiums to CBOT jumped 15-30 cents higher near midday before closing back close to unchanged. With the USDA report out tomorrow, it was a good opportunity to liquidate all my MGEX versus CBOT spreads--especially out in Dec12 where the market went to around $1 premium for MGEX from yesterday's close of 70 cents.
Also liquidated all my CBOT Dec/Mar spreads at that contango narrowed to to about 22 cents from last week's 35-36 cent level. While traders normally expect the "Goldman roll" of passive index long positions to drive the contango to steeper levels, there are many fewer longs to roll this time around--about 60K fewer as index positions are smaller and non-commercials are about 40K contracts short.
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