Why are there considerably larger parcels under the bid/ask in today's Australian pre-open market depth? What is the significance of today (March 19th) for buying and selling such large quantities into pre-open in so many major equities? Obviously Institutions, but why are they all re-balancing their books today?
The significance of the 19th is that the March SPI futures contract expires. As a result, all the funds with large futures positions will be doing one of two things. Either they roll out of the March contract into the next month, which is the June contract.
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