average Z/G spread over the past six-years has been -2.27 with a high of +7.25 set 6/30/15 and a low of -8.475 set on 12/8/2014. On this date the 6-year average spread has been -1.68 with a high of +2.1 and a low of -4.425. This means that a new six-year low for this date was set today when the Z/G spread settled at -6.725.

In 2014 the Z/G spread exhibited a lot of weakness going into the expiration when it dipped to -8.475 with five-days until expiration then it rallied to expire at -5.69.

What does this tell us?

I believe it tells us that the Z/G spread can be mighty choppy and it may be especially choppy during the last week to ten days. Generally I try to lighten my load of front month spreads in the last ten days leading up to cash settlement but today I bought on the dip. This may turn out to be a BIG mistake.

Best wishes,

dhm