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Commodity indices


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Commodity indices

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  #1 (permalink)
Market Wizard
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In recent days, I built a position of futures for the Bloomberg Commodity Index (33 % Energies, 19 % Industrial Metals, 13 % Precious Metals, 30 % Agricultural Goods, 6% Meats).

The index future is at its lowest value since its introduction 2006. (From 1998 - 2006 it was known as Dow Jones-AIG Commodity index.) Whereas after the financial crisis in 2008/9 its value was at 100 $, during last week it could be bought for 60 $.

Almost all commodities show significant potential for an upmove. China is starting its industries again, and Russia and Saudi Arabia will not be able to sell Crude Oil at current prices for a long time. The corona virus is a very severe problem, but some day in Q3 or Q4 we will have business as usual.

A move of the future of 1 $ corresponds to a move of 100 $ in your account.

A nice thing about this future is that in normal times it moves very slowly. This is reflected by a low maintenance margin even in current days of only 523 $.

Best regards, Myrrdin

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  #3 (permalink)
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Very interesting itís even around half where it was in 2009 low.. shows how much the commodity index has been beaten up over the last few years!
How far out on the curve can u buy this? i tried in my CQG and looks like its almost same price even for Z22 but there is no bid/ask



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  #4 (permalink)
Market Wizard
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jokertrader View Post
Very interesting itís even around half where it was in 2009 low.. shows how much the commodity index has been beaten up over the last few years!
How far out on the curve can u buy this? i tried in my CQG and looks like its almost same price even for Z22 but there is no bid/ask
[/url]

The CME site shows H, M, U, Z for 1 year (= until H2021) and the Z contracts until 2024.

Volume for Friday is shown as 1905 for the M2020 contract and zero for all other contracts. This contract is very thinly traded.

Best regards, Myrrdin

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So is the plan to trade or buy and hold and roll as it comes close to expiry?


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  #6 (permalink)
Market Wizard
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jokertrader View Post
So is the plan to trade or buy and hold and roll as it comes close to expiry?


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My plan is to buy and hold, and roll a few days before expiry, when there is at least somevolume in the next contract.

Best regards, Myrrdin

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Legendary Market Wizard
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Great Idea @myrrdin. My immediate thought/concern was what is the roll yield? Looking back at the March 16th Data, March traded 4441 lots and settled 61.8. June traded 4605 lots and settled 62.7 so looks like the roll cost would have been about 1 point. So if you held this a year and had to roll it 4 times, at similar levels it would only cost you 4 points or about 6%. To put this in perspective Crude Apr20 settled 2243 and Mar21 settled 3165 which is about 140% of Apr20! Unfortunately it's CBOT and I don't have their data (professional data fees are about $125/month per exchange) so can't look at it.

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Here you go. Attached is a dump of daily close for all of last year's contracts. Will analyze it when i get time.
Note: ER is CQG's symbology for this future

Attached Files
Register to download File Type: xlsx BloomCommIndexWorkbook.xlsx (32.9 KB, 6 views)
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Market Wizard
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Yesterday the Bloomberg Commodity Index fell from 63.33 to 62.71 (= 0.96 %), whereas the corresponding future fell from 63.50 to 57.70 (= 9.1 %) during the last few minutes of trading.

To me this looks to be the result of the low volume and stop orders being hit.

Or do I overlook something ?

Best regards, Myrrdin

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  #10 (permalink)
Market Wizard
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myrrdin View Post
In recent days, I built a position of futures for the Bloomberg Commodity Index (33 % Energies, 19 % Industrial Metals, 13 % Precious Metals, 30 % Agricultural Goods, 6% Meats).

The index future is at its lowest value since its introduction 2006. (From 1998 - 2006 it was known as Dow Jones-AIG Commodity index.) Whereas after the financial crisis in 2008/9 its value was at 100 $, during last week it could be bought for 60 $.

Almost all commodities show significant potential for an upmove. China is starting its industries again, and Russia and Saudi Arabia will not be able to sell Crude Oil at current prices for a long time. The corona virus is a very severe problem, but some day in Q3 or Q4 we will have business as usual.

A move of the future of 1 $ corresponds to a move of 100 $ in your account.

A nice thing about this future is that in normal times it moves very slowly. This is reflected by a low maintenance margin even in current days of only 523 $.

Best regards, Myrrdin

I still hold a significant position in the Bloomberg Commodity Index as a longterm trade. It has moved up a little bit in recent days, but is still far below my target of approx. $ 75.

Best regards, Myrrdin

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myrrdin View Post
In recent days, I built a position of futures for the Bloomberg Commodity Index (33 % Energies, 19 % Industrial Metals, 13 % Precious Metals, 30 % Agricultural Goods, 6% Meats).

The index future is at its lowest value since its introduction 2006. (From 1998 - 2006 it was known as Dow Jones-AIG Commodity index.) Whereas after the financial crisis in 2008/9 its value was at 100 $, during last week it could be bought for 60 $.

Almost all commodities show significant potential for an upmove. China is starting its industries again, and Russia and Saudi Arabia will not be able to sell Crude Oil at current prices for a long time. The corona virus is a very severe problem, but some day in Q3 or Q4 we will have business as usual.

A move of the future of 1 $ corresponds to a move of 100 $ in your account.

A nice thing about this future is that in normal times it moves very slowly. This is reflected by a low maintenance margin even in current days of only 523 $.

Best regards, Myrrdin


How is s de

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  #12 (permalink)
Market Wizard
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SteveC55374 View Post

How is s de

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Sorry - I do not understand. Please explain.

Best regards, Myrrdin

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  #13 (permalink)
Market Wizard
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Trading: Commodities
 
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SMCJB View Post
Great Idea @myrrdin. My immediate thought/concern was what is the roll yield? Looking back at the March 16th Data, March traded 4441 lots and settled 61.8. June traded 4605 lots and settled 62.7 so looks like the roll cost would have been about 1 point. So if you held this a year and had to roll it 4 times, at similar levels it would only cost you 4 points or about 6%. To put this in perspective Crude Apr20 settled 2243 and Mar21 settled 3165 which is about 140% of Apr20! Unfortunately it's CBOT and I don't have their data (professional data fees are about $125/month per exchange) so can't look at it.

Rolled today from June into September at 0 cost.

Best regards, Myrrdin

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Inspired by this thread I tried to pull up some more data about this product but it's not even listed in my AMP/ CQG/ Sierra Chart available symbols list.

On IB I currently see a 4 tick wide market for the Sep contract, quoted 63.60 bid at 64.00

Couldn't find the open interest on the CME website either.

I like the idea of adding the commodity index as a macro trading vehicle but liquidity in this thing is just awful. I'd probably be more inclined to go the ETF route for this index.

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Market Wizard
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Schnook View Post
Inspired by this thread I tried to pull up some more data about this product but it's not even listed in my AMP/ CQG/ Sierra Chart available symbols list.

On IB I currently see a 4 tick wide market for the Sep contract, quoted 63.60 bid at 64.00

Couldn't find the open interest on the CME website either.

I like the idea of adding the commodity index as a macro trading vehicle but liquidity in this thing is just awful. I'd probably be more inclined to go the ETF route for this index.

Yes, liquidity is very poor, and in my opinion this future is only interesting for holding it longterm.

Best regards, Myrrdin

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