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I looked at your link and found quotes this evening. Using LRP end dates that link up with CBOT feeder months does help capture subsidy, looks like to me. They come within 4 days of their underlying put option. This was on the weight 2 feeder steers. If board price is at the underlying put strike price at LRP expiration on one of these months, I figure there will be $0.50/cwt left on the put. Add that to the LRP producer premium and subtract that sum from the whole LRP cost and it looks like about a 20% subsidy, in those months. The off months look like a 5% subsidy maybe even less. So I’ll stay away from Feb, June, July, Dec for sure. These quotes look more attractive than I’ve seen before.
Thanks for the link! | |
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Hedging Feeders on the Future Market
