Calendar spread activity will probably dominate floor activity this holiday shortened week. Spreads have been narrowing over all as longs tend to dominate activity early in the roll to avoid any delivery risk. I will look for spreads to continue to narrow this week as we get closer to 1st notice day. Dec. contracts still have most the liquidity so option traders will initially hedge using the Dec. contracts and then quickly roll into the Mar.
Current picture as of Fridays close listed below.
| Commodity | Settlement | Open interest | Change |
| TYZ | 119'18 | 1,174,07- | dn. 109,225 |
| TYH | 118'08.5 | 160,467 | up 70,615 |
| Differential | |||
| points | 1'09.5 | ||
| 32nds | 41.5/32nds | ||
| Commodity | Settlement | Open interest | Change |
| FVZ | 117'16.2 | 757,365 | dn. 43,856 |
| FVH | 116'07 | 111,727 | up 18,918 |
| Differential | |||
| points | 1'09.2 | ||
| 32nds | 41.2/32nds | ||
| Commodity | Settlement | Open interest | Change |
| TUZ | 109'06.2 | 891,114 | dn,56,598 |
| TUH | 108'21 | 186,071 | up 60,293 |
| Differential | |||
| points | |||
| 32nds | 17,2/32nds | ||
| Commodity | Settlement | Open interest | Change |
| USZ | 120'28 | 689,739 | dn. 29,220 |
| USH | 120'08 | 100,331 | up 38,135 |
| Differential | |||
| points | |||
| 32nds | 20 | ||
Comments