Positions look to be well cleaned up heading into first notice day, as KCH OI entered the day at 6426 (2206 H AA’s, 98 EFS, and 7495 combined H based spreads). The session began in an encouraging manner as KC gapped higher on the opening, and with volatility relatively low posting a mere 160 point range. That gap was left open from 14745 to 14765 basis K. Early strength may have been best attributed to the BRL, which closed at 3.0574 last night after trading to the strongest level since June 18, 2015. While the BRL would ultimately succumb to relative weakness as the Brazilian Central Bank appeared effective in their continued swap based assault on the currency, it seemed to matter little to KC on a fairly quiet day. Anecdotally, it seemed many traders were focused on getting FND out of the way before the next move materializes. The question to be answered tomorrow is whether the First Notice Day Bounce of lore awaits coffee, or rather is Yeti-like in authenticity.
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