an average of -0.49 per day. One cannot know what the future holds but it is my feeling that this rate of decline may moderate a bit so I have input it into the model at 80% of that rate from now until the JJJs go to cash settlement. That gives us a cash settlement index of 63.34 with a range of 62.84 to 63.84.

It is altogether possible that rather than moderate, it will actually "Snowball" and the daily declines will get larger and larger as packers are faced with larger daily kills and lower cutouts. If that happens, the cash settlement will be somewhat lower than the model is projecting. It does not appear likely to me that packers are about to begin bidding higher until the kill rate starts to decline and cutouts pickup. So I am still short the JJJs. I have been able to scalp quite a few JJJs today but have had essentially no calendar spread activity.

Best wishes,

dhm