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There would be a few rolls needed of the short contract. Mar14 to May14 to Jul14 to Sep14 to Nov14 or close out. The intention is to roll for even money if possible or around 20c at worst. 4 rolls at 20c equals 80c off your return. I will try to roll every 2 months to keep commissions down.
Can you help answer these questions from other members on NexusFi?
Here is a copy of part of a spreadsheet that I use.
The chart shows the daily settlement price for all years since 2006. On the right is the date and settlement prices that I imported from QST. The seasonal chart is from MRCI.
Below is for each contract for 56 & 90 days periods but doesn't use a specific start date.
Closing this spread now for about 9 cent credit (5.20 for 600 calls and 35.00 for 425 calls) bringing total profit to 2000 (1100 + 900) on margin of about 7000 (1000 initial + 6000 spare) in a week - 28.5% ROI.
Well done and thanks for sharing. I was not able to put it on that day, even though it looked pretty good. I wanted to look at it more since had already booked a big loss in NG and was still holding some calls which made me anxious.
How were you able to locate this trade? Do you have a some system or its just that the NG volatilities went thru' the roof and that attracted your attention?
i use Commodity Research Bureau - (CRB) - Commodity Perspective (CP) - they do major futures markets inc commods / indices / ccy futures for $350 pa for eod futures prices in ascii format. i actually have a slightly diff format for a specific type of software (which isnt v gd) & will be upgrading to the ascii format so i can start importing into access/oracle/excel & run my own reports.
not sure if its what you are looking for, their cust service is pretty gd so perhaps give them a call.
It was more of very high volatility in March NG and some price action reading (Al Brooks style) that attracted my attention. Price action wise - spike phase just ended last week and channel is beginning. Probability of another spike right now is low. Also only way to lose money on that spread at that time of inception was another price spike higher - a low probability. Volatility of calls sold was almost one standard deviation above historical and usually volatility is mean reverting. That two and also the fact that the spread would act as kind of hedge against my existing naked call position (if price goes up slowly in channel) gave me confidence to take the trade.
I have already explained my action plan on it on previous posts. Many markets give this kind of opp 1 or 2 times a year but most time it is due to a move that has gone against option sellers and hence very few have desire/ability to take additional risk.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
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Morningstar's Commodity Query (Morningstar bought LIM a few years back and this is the successor to XMIM) could perform a query like this very quickly. Unfortunately it's not a cheap product for a retail trader.
Query would look something like this
SHOW
1: Close of NG
2: 40 day high of NG
3: 40 day low of NG
WHEN
Date is 20 business day in December
OR
Date is 14 business day in February
