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Yes, I am short the ESF P1500, and added some ESF P1550 and ESF P1625, when the ESF P1500 had lost some value. The value of these options is approx. 5 - 6 % of the total account value.
Sorry - I have an own book-keeping for Ron's program, and forgot to add these positions.
Larger acreage in Brazil than expected, lack of concern regarding Brazil weather, and increased farmer selling in the US should keep prices below 9,60.
I intend to add short LHG P60 to have a strangle (in different months) in the hogs. Cash prices (and, thus, the December future) should move down until end of November according to seasonality, whereas the later futures have upside potential.
Furthermore, I will watch closely if the move down after option expiry will occur again. I might close or hedge the ES puts. See
According to MRCI, cash prices for hogs (ave. Omaha) move downwards from end of July until end of December, bouncing for 3 weeks form early September and for 2 weeks from around 20th of November. This pattern is consistent for the last 5, 15 and 30 years.
For the December contract, the bounces are more pronounced for the last 15 and 30 years. For the 5 years pattern, which I prefer, you are correct that there is a bounce for about 3 weeks, beginning around 5th November.
For the February contract, there is a strong move upwards in November. The seasonal reaches its high end of November, whereas the December contract does not reach its highs from July and October in November.
The spread LHG-LHZ shows a steep downtrend from the middle of October untoil around 20th of November.
To be clear: I usually (and also in this case) trade both legs of strangles separately. I Intend to get out of the December calls some time early November, and will hold the February puts for a longer perios of time. (In case everything works out as planned ...)