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For days now the premium on the front S&P big contract has been running at
about -0.33. Then, this morning over a period of about ten minutes
beginning at 11:18 NY time, it dropped rather abruptly to about -0.87 and
has remained around that lower level. A multi-day 1- or 5-minute chart of
$SPINX shows this sharp change quite clearly.
Anyone have any idea what has caused this?
Carroll
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