to the Z/G spread:

Over the past six-years the average spread has been -2.27 during the last 185 days of life to the spread. The high has been +7.25 and the low has been -8.475. As I am sure you know, it settled yesterday at -6.25. The six-year average on this date has been -3.40 with a high of +0.125 and a low of -6.60 posted last year. The six-year average at expiration has been -2.37 with a high of 4.05 set in 2004 and a low of -5.69 set in 2003. Over the past six-years it has tended to post a low about this time of the year then rally but it can be a wild ride. About a month ago I was long about ten of them at about -4.0 and have been buying dips and selling rallies to work myself out of the hole. Made my last buy at -8.20. At this point I am down to four longs and have orders working to buy the next dip at -6.525. Since 8/31/17 I have closed out 57 of the spreads for a gain of $9,920 and have open position losses of $7,460 for a net gain of $2,460 during that time period.

I have come to the conclusion that the hog calendar spreads are mostly a random-walk with traders jumping at their shadows trying to figure out where they are going. I have been burned quite badly by some of the spreads when they get short term so I lighten my load when the lead month becomes front month.

The bulk of my trading anymore is the calendar spreads and they have been treating me well.

Armed with this information and five-bucks, you will be able to get a cup of Starbucks coffee.

Best wishes,

dhm