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I found a paper describing the association of RNA polymerase II with the histone methyltransferase Set2 that methylates H3K36.

At the end they say:

While our results strongly implicate K36 methylation as having a direct role in RNAPII elongation, the precise role is currently unclear. We propose three possibilities: (i) K36 methylation generates a chromatin structure that is more permissive for RNAPII passage. In this scenario, the loss of Set2/K36 methylation would result in a chromatin structure that is more difficult for RNAPII to pass, which might appear as an increase in RNAPII occupancy along the gene through increased pausing. (ii) K36 methylation generates chromatin structure that is less permissive for RNAPII passage. In this case, K36 methylation acts as a negative regulator of RNAPII elongation, and the loss of this “mark” permits increased RNAPII passage.

I am a bit confused about the (ii) point. If the loss of this mark permits increased RNAPII passage we would not see the H3K36me3 pattern in the active genes. Why is then H3K36me3 said to mark active genes?

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We have a more recent study, Histone H3 trimethylation at lysine 36 is associated with constitutive and facultative heterochromatin and they seem to suggest that in accordance with your '05 paper, H3K36me3 in part contributes to the formation of tightly packed, inaccessible chromatin. You'll see there's a lot of crosstalk, but you would also think that transcription in heterochromatin might be poor.

Looking at yeast studies, though, it would seem that RNA Pol II is capable of transcribing through heterochromatin anyways so long as specific cofactors are present (Acetylation of H3 K56 Is Required for RNA Polymerase II Transcript Elongation through Heterochromatin in Yeast)

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