10/12/16 was down -0.11 to 52.71. The "Gap" has now been closed to -0.21 with the VVVs still at a tiny,tiny discount to the component of -0.21. During this expiration cycle the model did a great job of steering me to the long side as the VVVs made a nice rally to close the "Gap". There does not seem to be much opportunity for taking an October future to cash settlement. I'm still long one and may end up holding it simply because there is seemingly not much risk.

The six-day moving average carcass weight firmed to 211.07#. That is -0.41# year / year. Packer hogs are heavier than non-packer hogs by +1.04#. It continues to appear that packers expanded production more than the non-packers. Index hogs are lighter at 209.64#.

The hog market is rather quiet today for a change.

The Oct week2 165 T-Bond call I sold is threatening to go ITM. If I get assigned a short Z-Bond, I will sell an ATM put for a covered put strategy.

Best wishes,

dhm