3-31-15 was down -0.05 to 59.65. That makes the JJJs premium to the index by 2.85 with 10-days of data to come to get us to the cash settlement index. My model projects that the cash settlement index for the JJJs will be 61.625 with a range of 61.13 to 62.13. It appears that the JJJs are priced just about right as we head toward cash settlement however with all the volatility that we are now seeing, a lot can change in the next ten days.

I'm now short one JJJ futures.

Best wishes,

dhm