8/7/15 was up +$0.01 and that is essentially unchanged. The model is projecting that the CME Lean Hog Index component on the 8/7/15 kill will change in the range of +0.15 to -0.15. As I look at the data, I get the impression that perhaps the Labor Day surge in demand by retailers is now behind us and that sets the stage for the long fall decline in the CME Index. Based on the -14.94 discount that the VVVs are trading to the component, traders are expecting the Index to crash by essentially 15 points. On average since the Index became the underlying, the drop from this point until the VVVs expire has been in the 8 to 9 point range. Last year it was 5.16.

Obviously traders are thinking we are going to see a steeper than usual slump in the index.

I think they are thinking there are going to be more hogs coming to market than projected from the last H&P report.

As I look at the data, that is also the "Feel" that I get although the kill last week was only up 10.27% over the same week last year and I was expecting it to be up about 11.5% based on the last H&P numbers. It's no wonder that the model is not projecting a cash settlement indes for the VVVs!

Scalping the QQQs did not treat me very well Friday but the V/Z spread action more than made up for it.

Best wishes,

dhm