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commodity spreads

  #81 (permalink)
 myrrdin 
Linz Austria
 
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zxcv64 View Post
Hi,

Pls forgive the noob question. I am looking on seasonalgo, and they have a good spread to enter around about now.
It's selling the GEH19-ZFU18.

I am experimenting with trying to create this in IB. But I'm struggling to see how seasonalgo get the price of 129,699
when the individual quotes are :

GEH19 - 97.1975
ZFU18 - 113.2929688

I cannot post a link or image as I do not have enough posts on here.

Can someone kindly show me where I am going wrong?

1. GE has a multiplier of 2500, ZF has a multiplier of 1000. Thus, the difference might be approx. 130. (I did not check.)


2. What makes you think that this is a "good spread" ? Do you have an idea what is the reason why this spread worked in the past ?


Best regards, Myrrdin

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  #82 (permalink)
zxcv64
London, UK
 
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myrrdin View Post
1. GE has a multiplier of 2500, ZF has a multiplier of 1000. Thus, the difference might be approx. 130. (I did not check.)


2. What makes you think that this is a "good spread" ? Do you have an idea what is the reason why this spread worked in the past ?


Best regards, Myrrdin

Good question. I do not understand what the reasons for this trade working/not-working in the past would be and so I am not opening this trade, but wanted to set it up on IB and watch it to see how it behaves. This would encourage me to follow the underlyings more and see how their fundamentals change and what affect they have on the spread price. I'm more than happy to receive a crash course on GE and ZF.

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  #83 (permalink)
 myrrdin 
Linz Austria
 
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zxcv64 View Post
Good question. I do not understand what the reasons for this trade working/not-working in the past would be and so I am not opening this trade, but wanted to set it up on IB and watch it to see how it behaves. This would encourage me to follow the underlyings more and see how their fundamentals change and what affect they have on the spread price. I'm more than happy to receive a crash course on GE and ZF.

I do not trade seasonals for the financial markets. Thus, I do not have an idea why this trade should work.

I prefer trading seasonal trades that I understand.

Best regards, Myrrdin

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  #84 (permalink)
 
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 CobblersAwls 
London, United Kingdom
 
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Are you referring to Eurodollars vs US 5yr Note?

Seems a really odd trade for several reasons;

There's time risk (U8 v H9) as well as the fact you are essentially trading 3m LIBOR vs a 5yr Government Note (that is actually anywhere between 5.25 - 4.17 years in duration upon delivery). So I can't quite see what the relationship would be here? What did the recco say the reasoning was?

If you wanted to take this trade based on the assumption lending among banks might get stressed vs the Gov, why not spread EDs vs FFs (Federal Funds)? That is a far more common pair to spread afaik.

If you would like to look at some interesting spreads in the Eurodollar market, may I suggest checking out some of the spreads around 2019. Z8-H9 has been trading negative, implying that the market is pricing in lower yield in March 2019 than December 2018. Some speculate this could be due to a recession, perhaps it has something to do with the Z turn? Who knows. It's a terribly complex market - good luck.

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  #85 (permalink)
 
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 CobblersAwls 
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FYI - as this is such a large topic and there's some interest, I thought I'd create a thread dedicated to the topic so as not to clutter this commodities spread thread.



Be great to have some discussion and learn/teach each other.

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  #86 (permalink)
 Futuresnoob 
San Antonio Texas
 
Experience: Intermediate
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Does anyone here day trade spreads? Regardless of instrument. I'm starting to experiment with spreads and if it is wise to day trade them. Trying to understand the variables to look at when determining which spread to trade. Glad to see this tread is becoming more active again.

Jason

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  #87 (permalink)
 myrrdin 
Linz Austria
 
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Futuresnoob View Post
Does anyone here day trade spreads? Regardless of instrument. I'm starting to experiment with spreads and if it is wise to day trade them. Trying to understand the variables to look at when determining which spread to trade. Glad to see this tread is becoming more active again.

Jason

I trade a lot of spreads, but my time horizon is weeks or months. I do not day trade.

You find a lot of my ideas about spread trading in in various threads of this forum.

Best regards, Myrrdin

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  #88 (permalink)
supreme23
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brentf View Post
I have traded commodity spreads for the past 30 years, looking to collaborate with another party to incorporate strategies into algorythims..any interest ?



I am , are you still looking for people ?

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  #89 (permalink)
zxcv64
London, UK
 
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I've just noticed that the backwardation in CL has created a large divergence between CLU18 and CLZ18, currently almost 4. (In fact, other spreads eg CLU18-CLU19 etc etc show a similarly unusually large divergence.)
This spread has been between 0.5 - 1.7 for most of the year.

I would love to know the views of experienced guys here on how to trade this.


Link : https://www.barchart.com/futures/quotes/CLU18/technical-chart?plot=LINE&volume=contract&data=DO&density=X&pricesOn=1&asPctChange=0&logscale=0&indicators=SRSI&sym=CLU18-CLZ18&grid=1&height=500&studyheight=100&isSpread=1

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  #90 (permalink)
 
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 SMCJB 
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zxcv64 View Post
I've just noticed that the backwardation in CL has created a large divergence between CLU18 and CLZ18, currently almost 4. (In fact, other spreads eg CLU18-CLU19 etc etc show a similarly unusually large divergence.)
This spread has been between 0.5 - 1.7 for most of the year.

I would love to know the views of experienced guys here on how to trade this.

The Canadian Syncrude outage is expected to affect Cushing crude stocks for the next two months and Trump's Armada of Saudi Crude Oil can't get here until October, hence the explosion in Q-V specifically and Q-Z in general.

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Last Updated on August 3, 2018


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