The average spread 6-months to expiry over the past 6-years has been 4.84

The maximum has been 15.3 and the minimum has been -0.01.

On this date the average was 4.025 with a maximum of 6.125 and a minimum of 2.600 posted on this date in 2011. Currently at 3.50 down -0.650 falling below the 6-year average for this date.

Historically there is a tendency for the spread to begin climbing in early September and trend higher until expiry of the VVVs.

Technically it has been trending lower since hitting a high of 7.00 in late July and today's drop continues that down trend.

Risk: If the October futures continue to show weakness after the holiday, this spread could break-down further.

Working to sell at 3.975.

Best wishes,

dhm