5/20/15 was down -$0.42 and the model projects that the CME Lean Hog Index component on the 5-20-15 kill will be in the range of unchanged to up +0.30. Packers probably still have a small inventory of hogs purchased at mildly higher prices that will have kept the component firm yesterday. It does appear that packers are bidding hogs down a little as they generally do following the surge leading up to the Memorial Day holiday. On average the Index drops about 1.6 between now and expiration of the MMMs.

The MMM to component "Gap" is now -1.09. It looks like "The Market" may have the "Gap" about right. Of course the technical/emotional factors are going to be in play so we can expect quite a bit of volatility in both the Index and the MMMs between now and when the MMMs go to cash settlement so ITZ will be able to do plenty of fishing!

I will be in the chase to try to scalp a few MMMs myself. I caught a couple yesterday and am looking to work from the short side today. I want a little rally from this point before I pull the trigger, though.

Best wishes,

dhm