4/4/17 was down -$0.43 and the model projects that the component on the 4/4/17 will will drop between -0.35 and -0.65. Even though the JJJs are trading at a discount of -3.33 to the index, the model is telling me to stay short the JJJs so I will.

Have done a fair amount of scalping from the short side selling rallies and buying dips. Generally I do my best trading in the last two weeks before cash settlement because the model becomes a very handy trading tool close to cash settlement.

Best wishes,

dhm