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commodity spreads

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  #1 (permalink)
winnipeg canada
 
 
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I have traded commodity spreads for the past 30 years, looking to collaborate with another party to incorporate strategies into algorythims..any interest ?

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  #3 (permalink)
winnipeg canada
 
 
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In the mean time, lets have a discussion on grain spreads, lots of opportunity this summer, want to get long new crop bean spreads...

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  #4 (permalink)
winnipeg canada
 
 
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New crop bean spreads at a carry, rationale is that carry reflects record large production. Carryout projected approx 200 m bus, not a lot of room for error. I think spreads are undervalued, at a carry the risk/reward potential favours long side of spread. Buy nov/may spread. Want to avoid the may/july for now.

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  #5 (permalink)
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Thanks for tip, spread BUY Soybean Nov / July is really oversold and currently is moving arround historical lows. According to SeasonAlgo there is 94% correlation with 2004 year (see stacked chart - bold black line vs cian line), this spread moved long from -260 to -120 = profit 7k $ in year 2004 (during May-June) but then turn back to short and hit historical low at -328 point. Overall historical low was reached last year at -360.

So that the spread can be very volatile and now there is not any long seasonal move, rather there is a short seasonal move from half of June.

Are there some same fundamentals as in 2004? That would give us a reasonable reason to try open long position.

Image - stacked chart
Image ZSX-ZSN seasonal patterns

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  #6 (permalink)
winnipeg canada
 
 
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new crop bean spreads at a carry due to large carryout for next year, market now at 395 million bus, compares to 130 for this year. tipping point for bean spreads something less than 175 mil bushels so there is room for carryout to be reduced before market react. Nonetheless, a low risk spread, if chinese demand surprises like it did this year or weather threatens crop spread will be good value. Also looking at corn spreads, Z14/z15 has potential, carryout at 1.6 bil bushels, tiiping point at 1 billion, demand and /or weather issues will put value into this spread.

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  #7 (permalink)
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Do you know if in the 2004 year was the same situation?

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  #8 (permalink)
winnipeg canada
 
 
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In 2003/04 crop year the soybean carryout was 112 mil bushels which was historically tight. Nearby prices moved higher in order to ration supply and avoid running out of supplies. 2004/05 saw an increase in supplies leaving a more comfortable carryout. It should be noted that o er the past 15 years all figures on soybean balance sheet have increased so that a 150 bus carryout, for example,is very much different than it was 15 years ago. Same goes for corn. A more meaningful measure is the stocks to use ratio which the trade will eventually defer to.

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  #9 (permalink)
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I would try to enter into Buy ZS X/ U ... it's looks more safely than X / N combination, also there is a seasonal move, selected seasonal window have 80% win in last 15 years according to SeasonAlgo


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  #10 (permalink)
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Yes there is seasonality in the bean spreads, that is an advantage over other commodity futures. However, the seasonality of the bean spreads is changing as a result of the large increase in SA production. US calendar spreads no longer have to reflect a rationing of product throughout the entire year, only until SA becomes available to market, about late jan/feb. Having said that the old crop/new crop bean spreads are at large inverses because China double booked US and SA beans this year, not sure they will make that mistake again. All I'm saying is that the seasonality that have characterized bean spreads now have to take into account SA production. Re U beans, referred to as the "bastard month" because it is now always clear whether it is representative of old crop or new crop. This should be taken into consideration if trading this spread.

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  #11 (permalink)
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Thanks for the comment

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  #12 (permalink)
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What are you chaps trading predominantly, inter-commodity spread, or calendar spreads?

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  #13 (permalink)
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Most of the time I trade intramarket (calendar) spreads, but I watch all strategies in SeasonAlgo and sometime I also trade intercommodity spreads - if I see a really nice seasonal movement and it moves at support, around historical lows.

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Kurtas View Post
I would try to enter into Buy ZS X/ U ... it's looks more safely than X / N combination, also there is a seasonal move, selected seasonal window have 80% win in last 15 years according to SeasonAlgo


Hey Kurtas, nice chart thank you.
First question, why do you show X-U rather than the more traditional U-X?
I'm not sure I want to rely on information on what happened in this spread over the last 10 years, never mind the last 30 years. A lot have changed in both market structure and fundamentals in that time.
I reran your charts, looking at days 100 to 20 before expiry, with just the last 5 years data.



And looking at the averages of all 5 years plus the 3 years most like this year...



I agree that looking at these charts, having this spread at or above 50, or even better 60 looks like a good risk/reward trade, at least historically
A 16 point move (56->40) equates to $800/contract which is over a 100% return on the current margin requirement of $742/spread.

My question on a trade like this, is how do you manage the risk.
Assume you enter 1 contract on at 56. If it widens to 60 your probably comfortable adding a second contract. But what about if it then widens to 65 or even 70. Temptation would to be to add more, but adding to losers is a recipe for disaster.
If you enter at 56, add 60s, 65s and 70s, at 70, you then have 4 contracts at an average 62.75, which equates to a $1450 loss (@70).



brentf View Post
Yes there is seasonality in the bean spreads, that is an advantage over other commodity futures. However, the seasonality of the bean spreads is changing as a result of the large increase in SA production. US calendar spreads no longer have to reflect a rationing of product throughout the entire year, only until SA becomes available to market, about late jan/feb. Having said that the old crop/new crop bean spreads are at large inverses because China double booked US and SA beans this year, not sure they will make that mistake again. All I'm saying is that the seasonality that have characterized bean spreads now have to take into account SA production. Re U beans, referred to as the "bastard month" because it is now always clear whether it is representative of old crop or new crop. This should be taken into consideration if trading this spread.

Thanks for the comment brentf.
So your saying that the fundamentals of this spread have potentially changed in the last 12 months?
Is there anything though that would change further in the next 20-40 days that would effect the fundamentals of this spread?

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  #15 (permalink)
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@SMCJB:


Quoting 
First question, why do you show X-U rather than the more traditional U-X?

It's simple, because I use "allways buy" rule - it means that I'm allways open the spread with BUY order and I'm close the spread with SELL.
Is it because I want to have clear in portfolio. I don't need to think if I have to close the spread with SELL or BUY order. So it's reason why I swap the legs.


Here is trading plan:
- risk per trade 2-5% (less risky = more risk), for this Soybean spread I will use 3%
- I allways open the spread position with BUY only at MAJOR SUPPORT LEVEL, I add another contracts when position goes against me, but with respect to risk per trade. (so in this case I have first buy limit at -65, last at -72 / SL -74)
- I simply skip this spread, when it don't reach major support level (entry)
- I use 1/2 of contracts for "scalping", where I take profit around 50-200$ per contract - then I'm waiting for retracement back to entry level where I buy whole position once again.
Spreads moves slowly most of the time and you can observe local ranges at intraday charts, by this way I can collect nice profits. It covers commissions and also sometime it may cover whole expected SL, then I have risk free trade.


You can argue that by this way I can miss some nice spreads, but I don't need to trade every seasonal moves.
SeasonAlgo has hundreds of seasonal strategies for each month and using their scanner I can simply find other spreads which currently moving in ranges.

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  #16 (permalink)
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Re fundamental over short term, U/X bean spread traded today at 52 1/4, the large inverses between old crop/new crop reflects the historically tight carryover. If producers get beans planted early, U contract will be perceived as a new crop month and there will be little/no reason for U to maintain a large premium to X. If however beans are planted late, tight supplies will continue through to X.

I trade both inter commodity and intra commodity spreads. One of the main reasons for trading spreads is the leverage it offers. Can be a double edged sword, the leverage it offers can lead to "opportunities". Secondly buying intra commodity spreads (long nearby, short deferred) allows me to quantify my risk, there is no other way of doing this using only futures. Given the increased consumption of grains/oilseeds over the past 15 years, one way to capitalize is being long spreads. Better than the "long only " model used by some funds (could never figure that one out).

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brentf View Post
Re fundamental over short term, U/X bean spread traded today at 52 1/4, the large inverses between old crop/new crop reflects the historically tight carryover. If producers get beans planted early, U contract will be perceived as a new crop month and there will be little/no reason for U to maintain a large premium to X. If however beans are planted late, tight supplies will continue through to X.

Thanks brentf. What would be considered early vs late? Looking at the charts, if this trade is going to work, it's best chance of working is in the next 10-15 trading days.


brentf View Post
I trade both inter commodity and intra commodity spreads. One of the main reasons for trading spreads is the leverage it offers. Can be a double edged sword, the leverage it offers can lead to "opportunities". Secondly buying intra commodity spreads (long nearby, short deferred) allows me to quantify my risk, there is no other way of doing this using only futures. Given the increased consumption of grains/oilseeds over the past 15 years, one way to capitalize is being long spreads. Better than the "long only " model used by some funds (could never figure that one out).

I personally believe that spreads follow fundamentals (aka behave) better as well.

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  #18 (permalink)
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Ohh.. I did sell a 52.75 today. Only sold 1 - hoping to sell more at a better (higher) level.

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  #19 (permalink)
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When you look at a spread like this you have to look at the deliverable stocks vs. open interest. The planting progress report issued on Mondays will give you an inkling of the deliverable stocks in Sept. If seeding progresses ahead of schedule and market is not threatened by weather to a large degree, there is little reason for large inverse. Other consideration is composition of open interest. Funds are currently large long, mostly in N. You have to assume that 1) they will not stand for delivery 2)liquidation of N by funds will put pressure on spreads. This will come into play over the next few weeks as first delivery day for N approaches.

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  #20 (permalink)
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@brentf

If I understand, you are using COT analysis for your spread trading decisions?

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  #21 (permalink)
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Yes, the COT report should be taken into consideration when trading a spread. 30 years ago the COT report didn't exist, the market would make an educated guess re composition of open interest. Now it is all there, neatly compiled for the market to see, It might be added that the COT works to the detriment of the speculative content of the market, e.g. funds. Anyways, it is one tool that should be taken into consideration with other influences. The markets have learned to anticipate how and when funds will manage their positions e.g. Goldman Roll. Saying that, a large spec long doesn't guarantee that a spread will move towards carry. There have been contracts squeezed by funds, most recently oats (which was predictable). From personal experience, 20 years ago i often held significant long spec positions prior to first delivery day, but I wouldn't replicate those trades now simply because of the COT report.

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SMCJB View Post
The problem with the Commitment of Trader reports are their accuracy. Back in 2008 the CFTC reclassified Vitol from being a commercial hedger to non-commerical speculator. The result? An 10% shift in the report. Yes reclassifying one company resulted in a 10% change in the COT reports! Makes you wonder about how so many other companies are classified.

Reuters:- Big CFTC data revision raises oil traders' eyebrows


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  #23 (permalink)
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IMHO, if you have a good price-based model with confirmation, it will pick up on seasonal spread moves. You won't absolutely "time" a bottom or top - but nobody can do that anyway.

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  #24 (permalink)
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PropArb View Post
IMHO, if you have a good price-based model with confirmation, it will pick up on seasonal spread moves.

Just curious what you mean by this? I think of seasonal trades as having a (very?) significant 'time based' component which a pure price based model doesn't have.

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ZS U-X spread traded -59 over night

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SMCJB View Post
ZS U-X spread traded -59 over night

and as tight as -53.75 on the sell off

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The bean spread that is going to get interesting over the next month is the N/X. funds long 130k N, half the open interest. I think they are going to take delivery of zero. Could get ugly if they roll.

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  #28 (permalink)
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Another bean thread that may be interesting. Some discussion of the U-X spread

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  #29 (permalink)
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Very nice seasonal movement coming at sugar

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SMCJB View Post
Just curious what you mean by this? I think of seasonal trades as having a (very?) significant 'time based' component which a pure price based model doesn't have.

My personal opinion is that terms like "seasonals" and " mean reversion" are descriptive terms or definitions that do not necessarily have to be a unique trading style or strategy. Most believe it has to be that way, but I am not.

A price based model that uses a well designed technical entry signal and relies upon historical trading ranges to set profit targets and stop-loss levels will pick up on "seasonal" moves in commodities like grains, energy, and softs just fine speaking from personal experience. Just my 2 cents.

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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 ?

Hi,

I've been trading off and on for a long time but am retired and am now trading full-time. I studied seasonals years ago and actually bought and used Jake Bernstein's seasonal studies books in the 90's.

I started using MRCI data several months ago and have traded about 75 spreads in the last six months. I use Tradestation and in the course of my spread trading have devised a few Easylanguage indicators that help me keep track of the spread performance. So far I am very pleased with the performance.

I'm always looking for someone to kick ideas around with and would be interested to see if we could complement each other.

Looking forward to hearing from you.

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  #32 (permalink)
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Kurtas View Post
Here is trading plan:
- risk per trade 2-5% (less risky = more risk), for this Soybean spread I will use 3%
- I allways open the spread position with BUY only at MAJOR SUPPORT LEVEL, I add another contracts when position goes against me, but with respect to risk per trade. (so in this case I have first buy limit at -65, last at -72 / SL -74)
- I simply skip this spread, when it don't reach major support level (entry)
- I use 1/2 of contracts for "scalping", where I take profit around 50-200$ per contract - then I'm waiting for retracement back to entry level where I buy whole position once again.
Spreads moves slowly most of the time and you can observe local ranges at intraday charts, by this way I can collect nice profits. It covers commissions and also sometime it may cover whole expected SL, then I have risk free trade.

You can argue that by this way I can miss some nice spreads, but I don't need to trade every seasonal moves.
SeasonAlgo has hundreds of seasonal strategies for each month and using their scanner I can simply find other spreads which currently moving in ranges.

I suspect that you didn't participate in this spread, since it never got close to your targets. I did scale in some between 52.75 and 58.75 but it never really got to the levels where I wanted to add more size. Not only are we now well past this spreads typical seasonal peak but historically tomorrow (expiry-72) is when the (intermediate) low occurs. I think I'm going to take half my position off here. If we widen again over the next week I will probably add it back again. Given that the season low normally occurs between expiry -66 and -61 I plan to be out completely by the end of next week.

Thanks for the trade idea.


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Kurtas View Post
Very nice seasonal movement coming at sugar

Interesting.
Again just looking at the last 5 years, I think you will see your 5 year average is very skewed by 2 (2010 & 2011) of the 5 years. Even so -1 does seem to be a decent historical floor.
Just like the Soybean Sep-Nov spread you highlighted last month, 2010 & 2011 behaved very differently than 2009, 2012 & 2013. Need to check if there is a fundamental (weather?) reason for that.



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  #34 (permalink)
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SMCJB View Post
... Not only are we now well past this spreads typical seasonal peak but historically tomorrow (expiry-72) is when the (intermediate) low occurs. I think I'm going to take half my position off here...

After saying all that it traded as tight as 49s today before widening back out and closing almost unchanged. After taking half the position off overnight in the 51s, I lightened even more today.

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  #35 (permalink)
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ZS U-X widened early trading out to -55 before settling at -52.25 (+0.75). Added a little back on.

SB V-K also widened trading out to -1.05 before settling -1.04 (-0.11). Opened a small position.

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  #36 (permalink)
Legendary Market Wizard
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More on the SB V-K spread.

Since seasonalgo.com's analyze shows that the optimal entry date is June 6th I ran some charts that showed the change in the V-K spread from June 6th to n days later. (where n is plotted on the x axis)

In the last ten years, 2 great years (2010 & 2011), 5-6 good trades, and 2-3 breakeven/poor trades.



When you take those two great years out, the returns look far less impressive - still not bad, but definitely not as great. Even so the downside looks very limited based upon historical's. Even excluding the two good years, the 8 year average MINUS one standard deviation is breakeven or close to breakeven for much of the impending trade window.



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SMCJB View Post
ZS U-X widened early trading out to -55 before settling at -52.25 (+0.75). Added a little back on.

SB V-K also widened trading out to -1.05 before settling -1.04 (-0.11). Opened a small position.

Fri 6/6
ZS U-X settled at -45 exactly the type of move we were hoping for last week. Thankfully still had about half of position left but exited last of position at 48. Still good trade, 5 1/4 points.
SB V-K widened further and settled on its low at -1.08. Now have my full desirable position on, so 'hope' * it start's reversing soon. Slightly underwater here.

*Hate that word in trading!

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  #38 (permalink)
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@SMCJB
Hi,

sorry for delay, I had a small vacation. About Soybeans, sure I'm not in position, I'm buying spread only at support levels. Also this spread isn't so good, there is much better.

About sugar, SeasonAlgo gave the same spread as free strategy for July, so you can see backtest for each year - see below table at Futures spread stategy for June, 2014 - Buy Sugar October 2014 / Sell Sugar May 2015 | SeasonAlgo.com - SA

When you compare Best & Worst columns then you will notice that this spread had very small maximal losses during seasonal window. RRR is over 10 for last 15y. This spread is very safe for me, sure there could be some fundamentals problems.
I don't care about fundamentals, I only monitoring release time for reports like wasde, crop production etc..
You will never have access to all necessary information, you are not hedger or producer, they are specialized in some specific commodity and it's their core bussiness.

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  #39 (permalink)
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Re bean spreads ; the bean spreads have the potential to change significantly due to the shift in global production. The point that I am trying to make is that this won't show up in technical analysis (5 year charts). Be careful.

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  #40 (permalink)
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brentf View Post
Re bean spreads ; the bean spreads have the potential to change significantly due to the shift in global production. The point that I am trying to make is that this won't show up in technical analysis (5 year charts). Be careful.

Thanks brentf for the info. I've got in and out of my bean spread and have no plans to re-enter currently.

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  #41 (permalink)
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N/X bean spread has narrowed to $2.06 over as funds liquidate N.This is an example of the value of COT that I was trying to make earlier.

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brentf View Post
N/X bean spread has narrowed to $2.06 over as funds liquidate N.This is an example of the value of COT that I was trying to make earlier.

Well, from my experience with pair calendar spreads that include a prompt front month - it seems that they are typically quite directional with the front month. So it's just like trading the outright front month it seems.

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I agree. So unless I have a strong opinion on the prompt I try to avoid prompt spreads.

I think in this case brentf did have an opinion on the prompt based upon COT analysis.

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  #44 (permalink)
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I'm not sure i can agree with the prompt front month concept. It seems to me the historical relationship of the two contracts is the controlling factor.

For example, if both contracts prices go down I don't care, just as long as the spread relationship I am trading goes in my favor. I've found myself in the dilemma of trying to place a stop order for a spread based on one of the contracts. If you think about it you have to say if my long month goes down I want out, but wait, what if my short month goes down even more.

The self-hedging aspect is one of the things I like about spreads versus an outright. Influences outside of the reason you are trading the spread for example affects all contracts generally in the same direction. This is not always true of course but warranted or not I sleep a little better knowing that if something out of the blue happens I am better off than if on the wrong side of an outright.

IMHO

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lsandersj View Post
I'm not sure i can agree with the prompt front month concept. It seems to me the historical relationship of the two contracts is the controlling factor.

For example, if both contracts prices go down I don't care, just as long as the spread relationship I am trading goes in my favor. I've found myself in the dilemma of trying to place a stop order for a spread based on one of the contracts.

IMHO

If you look at the energy complex the past few years, the front month to second month and most of the other prompt/ near term calendar spread differentials ( esp. Pairs) you can overlay onto the front month flat price future price action. Now, this is not a constant, and it is not universal, even within the energy complex on a historical basis.

My only point is that it is something you should model for and be mindful of.

Moving further out on the curve and trading more complex intermarket spreads is one good solution.

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  #46 (permalink)
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I'm not sure of what you mean with" you can overlay onto the front month flat price future price action. Now, this is not a constant".

I'm also not restricting myself to front month/second month. Maybe this year next year. I also look at inter as well as intra commodity spreads. My main approach is wherever there is a historical probability first and then current conditions as a filter. (Which would take into account COT.)

Would like to increase my perception by understanding your point.

Thanks

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  #47 (permalink)
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Hey Spreaders! Lately, I've become more interested in your corner of the market.

Can anyone recommend a good learning resource to get more exposure to some of the fundamentals and strategies of commodities spreading?

thx

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  #48 (permalink)
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I like MRCI.com. It is a subscription site but there is a lot of free stuff also. With the statistical data I get for $50/month I pay my subscription many times over.

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With respect to the nearby month and fundamental analysis, the correlation between the deliverable stocks and the open interest is the single most important influence on a grain spread. In a situation where stocks are perceived to be tight and deliverables negligible, (as in the case of he N/X beans), the nearby will invert. The size of the inversion is correlated to the severity of the shortage.Essentially the market is willing to forgo carrying costs on order to secure supplies for the immediate future. In a case where deliverable supplies are adequate/burdensome relative to the open interest. the nearby will typically trade at a discount to the deferred months. In this case the market is unwilling to pay more than carrying costs to secure supplies. This is the case for 2014/15 bean spreads as inventories are replenished. Moving forward with the 2014/15 bean crop, the market uses the carryout as a proxy for deliverable stocks. Right now the market is using something close to a 350 carryout (125 this year). enough to keep spreads at a carry.

Going back to the N/X bean spread, I suggested that it would weaken as first delivery day approached, the shortage of deliverable stocks was well documented but given that funds were long half the open interest of the nearby, there would be less deliverables required than at first blush. Also, beans imported from SA increased the deliverable supply.

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  #50 (permalink)
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USDA report this am increases bean acreage, very negative for X beans, expect new crop bean spreads to weaken given increased carryout.

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PropArb View Post
If you look at the energy complex the past few years, the front month to second month and most of the other prompt/ near term calendar spread differentials ( esp. Pairs) you can overlay onto the front month flat price future price action. Now, this is not a constant, and it is not universal, even within the energy complex on a historical basis.


lsandersj View Post
I'm not sure of what you mean with" you can overlay onto the front month flat price future price action. Now, this is not a constant".

I didn't want to answer this at the time you asked as it was PropArb's original comment. Due to the lack of a current response though I believe that PropArb was saying if you were to chart the prompt month and most prompt spreads on the same chart (ie overlay them) you find that they move with a reasonable correlation. This may not be the case in other markets but it traditionally is in crude, and to a slightly lesser case most energy markets.

The following chart shows the daily change in CLQ4 (which is currently the prompt month) and the daily change in the CLQ4-CLU4 spread for the last 3 months.



Notice the equation of the regression line << y = 0.0576x - 0.0123 >> This means for every dollar CLQ4 moves we expect CLQ4-U4 to move almost 6c EXCEPT that each day the spread also moves down 1.2c. This is because the crude spreads have recently shown the tendency to collapse as they near expiry.

For example look at how CLQ4 and the Q4-U4 spread tracked in April and May



But looked what happend in June


It may look like the relationship completely broke down in June but it didn't. The spread still moved with the market but the downward trend overpowers/shadows the relationship, as the spread now loses on average 2.6c/day.



See how Q4 and the Q4-U4 spread track when we detrend the spread data by adding 2.66c/day back to the spread...


*Just realized that excel used real dates on some of the x-axis so some of the charts are slightly distorted by the fact that Fri-Mon shows as 3x x-axis width as other days due to the inclusion of Sat & Sun.

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  #52 (permalink)
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Very interesting charts, suggests a strong correlation between nearby spreads and price for Crude oil. I would guess that the correlation decreases for a commodity where the nearby spread approaches full carrying charges, to a point where the correlation approaches zero, assuming that full carry is not breached. Possible to chart such a relationship i.e. nearby spread close to full carry ? Corn spreads may provide an example. Thanks.

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  #53 (permalink)
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Hi All,

I am a Broker with Cannon Trading Co, (full disclosure) I personally trade a system based on seasonal spreads in energies, grains, meats, metals, financials, currencies etc. There are several companies that research the seasonality and suggest the proper risk rules and execution. Without getting into specifics, I have been very impressed.

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The new crop bean spreads over the pas week provide an example of reduced corrrelation between the price of the nearby and the spread. Flat price of X has dropped approx $1.30 while the X/K has lost approx 10 to 15 cents. This is what I was trying to suggest above, that the correlation between the nearby and the spread will approach zero as the spread approaches full carry. The spread simply has nowhere to go (assuming full carry is not breached. I have only seen it happen a couple of times and for good reason).

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SMCJB View Post
I didn't want to answer this at the time you asked as it was PropArb's original comment. Due to the lack of a current response though I believe that PropArb was saying if you were to chart the prompt month and most prompt spreads on the same chart (ie overlay them) you find that they move with a reasonable correlation. This may not be the case in other markets but it traditionally is in crude, and to a slightly lesser case most energy markets.

Well done and spot on !

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  #56 (permalink)
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brentf View Post
With respect to the nearby month and fundamental analysis, the correlation between the deliverable stocks and the open interest is the single most important influence on a grain spread. In a situation where stocks are perceived to be tight and deliverables negligible, (as in the case of he N/X beans), the nearby will invert. The size of the inversion is correlated to the severity of the shortage.Essentially the market is willing to forgo carrying costs on order to secure supplies for the immediate future. In a case where deliverable supplies are adequate/burdensome relative to the open interest. the nearby will typically trade at a discount to the deferred months. In this case the market is unwilling to pay more than carrying costs to secure supplies. This is the case for 2014/15 bean spreads as inventories are replenished. Moving forward with the 2014/15 bean crop, the market uses the carryout as a proxy for deliverable stocks. Right now the market is using something close to a 350 carryout (125 this year). enough to keep spreads at a carry.

Going back to the N/X bean spread, I suggested that it would weaken as first delivery day approached, the shortage of deliverable stocks was well documented but given that funds were long half the open interest of the nearby, there would be less deliverables required than at first blush. Also, beans imported from SA increased the deliverable supply.

Regarding the open interest, how do you determine the ratio of buy interest and sell interest, or are you just looking at the total OI?

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  #57 (permalink)
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Hi. I would like to participate in some chat about spread trading to share ideas etc. I trade spreads 5 months

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  #58 (permalink)
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I have a very basic general question on spreads.

If the nearby contract sells for more than a distant contract sometimes it is said that there is an immediate/urgent need of buying a commodity hence prices would go up.

BUT when you look at a calendar list of an instrument and distant contracts sell for less means that the Commodity / Instrument is in "Backwardation" and prices tend to fall.

Question:
Which of the two should I believe or how do you differentiate between a Backwardation scenario from a Premium scenario?

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  #59 (permalink)
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It's (not surprisingly) not that simple.

Many commodities have extremely seasonal supply and demand profiles, and their forward curve often reflects that supply/demand profile rather than any indication of absolute price strength or weakness. If we don't fill storage when supply>demand we won't have enough of the commodity in storage when demand/supply. Hence the forward curve has to reward you to store the commodity. But if we have too much of a commodity in stock, the curve will move to a point to correct that imbalance. Economists try to explain this by talking about the Convenience Yield. (eg energy commodities, new crop/old crop etc etc).

Saying that when prices move they obviously do tend to effect prompt contracts more than deferred contracts. Hence in a bull market the front often outperforms the back.

Other commodities have forward curves that have very well defined (and arbitragable) carrying costs (eg precious metals, currencies, equity index's).

There is also the phenomenon called the "roll yield". While I'm not sure that backwardation/contango are reliable indicators of market direction, I do believe that there are effective trading strategies that take advantage of the roll yield.

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  #60 (permalink)
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@brentf do you know a good source for historical stock-to-use ratios ?
Are you subscribed to a service providing you with this information?

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  #61 (permalink)
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1) Soybeans are clearly inverted


2) Spread ZSQ5-ZSU5 and ZSQ5-ZSX5 are widening


3) Commercials shorted last week and OI has been gradually falling. This signal for me is still hard to interpret.

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@SMCJB as Sept. soybeans approach expiration and they are in clear Inversion, I was wondering how should I play the rolling yield on this contract.

Would it be Buying the November discount and Selling the September premium?

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  #63 (permalink)
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I don't trade Soybeans often but yes Sep is Premium to November. If you roll (sell Sep/buy Nov) you won't actually collect premium but you will have a position in November with a lower cost basis.

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  #64 (permalink)
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@SMCJB so you would still "hope" November price rises if you are maintaining the long position (that you got at a discount)?
I am trying to understand a little better the roll-yield play.

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Well hopefully you have more conviction than 'Hope'!

If your trading a spread as a position you profit (or lose) based upon how the spreads move, aka how the individual months move in relation to each other.

Your not doing that, your rolling a long out of the spot month into the next month to avoid delivery. In this scenario you are exchanging outright risk in September for November. What the spread does after you execute the trade is nothing other than hindsight - although spread movements going into expiration normally give a good indication of fundamentals.

People talk about roll yield, meaning whether you paying more or less for the next month. In this case you have a positive yield. Roll yield is very important in two scenarios's, A) when you have a fixed number of dollars to invest and are using futures to proxy the underlying (think USO, UNG etc the commodity ETFs) and B) when your in an index fund that is always long. Contango markets (negative roll yield) normally kill these types of investments.

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@SMCJB Thanks for the great explanation. I got a better picture now.

I guess it is important to understand that you would not collect the premium, it is not a given profit. That was basically my question.

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  #67 (permalink)
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Correct. It's not like an option spread where there are a difference in 'premiums'.
Glad I could help.

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  #68 (permalink)
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Do u stick to commodity spreads? or also trade outrights and options as well? I am starting to read up on commodity spreads and have a Qtrader account so want to start practicing

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jokertrader View Post
Do u stick to commodity spreads? or also trade outrights and options as well? I am starting to read up on commodity spreads and have a Qtrader account so want to start practicing

I mainly sell Options (outrights, spreads), but also trade future outrights and spreads.

Currently my only spread trade is the CZ-CU, which I entered recently. Seasonals suggest that this spread should move upwards until early August. Soil moisture is good in a large part of the US, thus there is a high probability of success.

Risk: Very high temperatures in July during the pollination period.

Best regards, Myrrdin

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  #70 (permalink)
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For those who trade in any of the European markets, what are some good spreads to do there?

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  #71 (permalink)
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Check this out from the ASX, this was a popular spread in the past, not sure what it's like now though but worth some investigation: https://www.asx.com.au/documents/products/asx_interest_rate_futures_research_aus_us_bond_spread.pdf

If you want to trade London/EU session after work (I presume as you are AU based) then you could look at Euribor/Short Sterling/Eurodollar markets for rates. Due to CB intervention and ZIRP/NIRP these markets are pretty bad for retail.

For commodities you could look at products such as Sugar, Coffee, Cocoa, Brent Crude Oil, Low sulphur Gasoil and many others. Have a look at Ice Future Europe for a complete list.

For index spreads you could look at the 5/2 FESX/FDAX ratio spread.

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brentf View Post
The new crop bean spreads over the pas week provide an example of reduced corrrelation between the price of the nearby and the spread. Flat price of X has dropped approx $1.30 while the X/K has lost approx 10 to 15 cents. This is what I was trying to suggest above, that the correlation between the nearby and the spread will approach zero as the spread approaches full carry. The spread simply has nowhere to go (assuming full carry is not breached. I have only seen it happen a couple of times and for good reason).

@brentf if you see this, you should start posting again if possible.. u gave good insight especially on bean spreads.. good reading for a newbie to spreads like me

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I was curious to know what strategies underlie your spread trading. Do you look for historical price differences between two markets to spread? In an algorithmic trading system, would such price differences trigger a trade signal? Perhaps you’re looking at seasonal tendencies. In this case, would dates on the calendar trigger a trade signal?

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Maria Julia View Post
I was curious to know what strategies underlie your spread trading. Do you look for historical price differences between two markets to spread? In an algorithmic trading system, would such price differences trigger a trade signal? Perhaps you’re looking at seasonal tendencies. In this case, would dates on the calendar trigger a trade signal?

Most of my spread trading is seasonal trading.

You find some information about my strategies in the thread "Commodities Futures Trading" > "Seasonal Trades".

Best regards, Myrrdin

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  #75 (permalink)
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Anyone trading the (ES-YM) spread??

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  #76 (permalink)
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I have tried ES-NQ, with ninjatrader the best I could come up with was the attached chart.
How are you, or are you going to trade ES-YM?
with ninjatrader?
the issue with NT was executing orders on both legs quick enough

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guidoisot View Post
I have tried ES-NQ, with ninjatrader the best I could come up with was the attached chart.
How are you, or are you going to trade ES-YM?
with ninjatrader?
the issue with NT was executing orders on both legs quick enough

That is an A+ video, thanks. Ninja Trader will never work for spreads. I use Sierra Charts for the spread
charting, and I use Interactive Broker for spread trades. IB quotes a single price for the spread with
competitive (good) margins. The dollar value for the spread is (ES*50 - 5*YM). This is the value you
should chart. I have seen the spread go to a large unrealized loss, and the next day revert back to no loss
or a gain.

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Not familiar with NT but you can program automated spread trading in Tradestation so would assume you can on other systems as well. As @guidoisot said though, there is the issue of executing both legs quick enough, AND you will be paying the bid-ask spread on both outright contracts, rather than on any exchange listed spread which is normally a lot tighter. You just need to have two different charts, both with 2 data series on them for the spread, but one chart trades one leg of the spread and the other chart trades the other - but both with the same but opposite logic.
For example
Chart 1 might be, if data1 > data2 then buy next bar at market
while
Chart 2 might be, if data1 < data2 then sell next bar at market

This can be a little confusing as data1 and data2 are reversed. A way to avoid this would be to have 3 data feeds on each chart, data1 is the executable symbol, data2 is spread leg X and data3 is spread leg Y. So you first chart would be X, X & Y and your second chart would be Y, X & Y. Now you only have to reverse the order signals and not the code logic. For example
Chart 1 would now be, if data2 > data3 then buy next bar at market
while
Chart 2 would be, if data2 > data3 then sell next bar at market

With regards to ES-YM even if you dollar adjust as @datahogg suggests (ES*50 - 5*YM) you still don't have a market neutral spread. The ES contract currently has a $139K notional, while YM is $127K, so if you trade them on a one-one basis you'll be net buying or selling $12K of outright market exposure. To eliminate this risk you really need to be executing the spread as 10:11. This is different to trading for example the Crude Oil - Heating Oil spread, as each contract while having a different notional USD value, are both for the same quantity - 1000 barrels.

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  #79 (permalink)
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Tradestation does a lot of things well, but spread trading is definitely not one of them.

Their platform needs to include:

1. Market data for exchange traded spreads

2. Ability to actually trade these exchange spreads


They have been telling me for YEARS this was right around the corner, but it never shows up. Legging is the alternative, but is dangerous in runaway markets, and definitely more expensive for slippage cost.

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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?

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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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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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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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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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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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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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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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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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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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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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This is the type of stuff I look for.

Unfortunately, all of my past oil spreads have been just pure luck so... I don't know enough about oil to trade the spreads unless I'm subbing an outright with a spread. Even then it's not guaranteed to widen or narrow.

In hindsight it would have been a decent trade.

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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.


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

After posting the above, I entered the trade at around 3.2 and exited it last week at 1.7. I believe there is further profit to
be had, but I was happy with the returns. I do not profess to understand all the fundamentals behind CL (it's such a
complex beast), but I enjoyed the quick in-out, based purely on technical aspects.

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zxcv64 View Post
After posting the above, I entered the trade at around 3.2 and exited it last week at 1.7. I believe there is further profit to
be had, but I was happy with the returns. I do not profess to understand all the fundamentals behind CL (it's such a
complex beast), but I enjoyed the quick in-out, based purely on technical aspects.

Nice! I so badly want to figure out CL spreads. They offer one of the best returns on margin I have ever seen.

A number of people I talked to before only trade one month spreads and more or less swing trade them in and out of their range. It almost sounds like what you just did here.

I suppose I won't get good at it until I actually start following them like I did with corn...

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Corntr8der, I basically saw a chart of the spread which showed a big divergence, and took the trade on. It worked out well.

I have another open spread as below :

GO (Gas-Oil), GOU18-GOZ18. Buying the Sep, and selling the Dec. I opened it on 12-Jul for -0.5. Will aim to close for around 4 to 6. The margin on this was quite low at $250. I saw this on seasonalgo, and the chart there looks very convincing.

I'd love to insert an image, but am having problems. Will try and attach a file.

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Nice to see you found something that works. It sounds similar to what I do.
I've been looking into crude spreads lately. I took a quick trade yesterday on the Sept/Oct spread and made a nice and easy Ben Franklin. I was surprised at how easy it was.
I've been doing a lot of research about the crude spreads and found the one month spreads to be less volitile than trading three, six or twelve month spreads.
Ironically, I also discovered that most of the time traders spread rbob and crude. The crack spreads still seem to hold their seasonality pretty well. I've been waiting for an opportunity to test it out.


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Corntr8der View Post
Nice to see you found something that works. It sounds similar to what I do.
I've been looking into crude spreads lately. I took a quick trade yesterday on the Sept/Oct spread and made a nice and easy Ben Franklin. I was surprised at how easy it was.
I've been doing a lot of research about the crude spreads and found the one month spreads to be less volitile than trading three, six or twelve month spreads.
Ironically, I also discovered that most of the time traders spread rbob and crude. The crack spreads still seem to hold their seasonality pretty well. I've been waiting for an opportunity to test it out.


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I agree, I also like trading crack spreads and the RB-HO spread. Their seasonalities are quite reliable.

Currently I am long the RBG9-HOG9. (I usually hold my trades for weeks or months.)

Best regards, Myrrdin

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myrrdin View Post
I agree, I also like trading crack spreads and the RB-HO spread. Their seasonalities are quite reliable.

Currently I am long the RBG9-HOG9. (I usually hold my trades for weeks or months.)

Best regards, Myrrdin

I assume you entered this around mid Jun. If so, this is now showing a really good profit. This year, the spread seems to
have mirrored the 15-year seasonality very well.

I'm a newbie to futures calendar spreads (but 20+ years in options trading) and so far I love the way these
spreads behave, how margin efficient they are and how they really can offer proper diversification and are very scalable.

I'm hoping this particular thread becomes more active, as it's a tremendous learning resource.

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zxcv64 View Post
I assume you entered this around mid Jun. If so, this is now showing a really good profit. This year, the spread seems to
have mirrored the 15-year seasonality very well.

I'm a newbie to futures calendar spreads (but 20+ years in options trading) and so far I love the way these
spreads behave, how margin efficient they are and how they really can offer proper diversification and are very scalable.

I'm hoping this particular thread becomes more active, as it's a tremendous learning resource.

The main reason why I like spread trading is diversification. Otherwise it is hard to find a large enough number of trades that are independent from each other.

I entered the RBG-HOG spread between -26 and -27 in early July. Target is between -10 and 0 some time in January. I might roll the spread to avoid the front month contracts.

In many years I enter this trade in October. In El Nino years - relatively warm winters in the US - I prefer entering earlier.

You might want to have a look at my other threads in the commodities section (Energies, Grains & Beans, Meats, Softs, Metals, Seasonal Trades). They also include spread trading.

Best regards, Myrrdin

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@myrrdin I have seen more and more people requesting to trade VIX Futures spreads using their term structure.
Have you ever looked at these instruments? Just interested in your feedback as a spread trader.

Thanks,
Matt Z
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mattz View Post
@myrrdin I have seen more and more people requesting to trade VIX Futures spreads using their term structure.
Have you ever looked at these instruments? Just interested in your feedback as a spread trader.

Thanks,
Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

I never was interested in trading VIX future spreads.

Most of the spreads I trade are inter-commodities spreads or old crop / new crop spreads, and show strong seasonals (Grains & Beans, Meats, Energies).

Best regards, Myrrdin

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