Berlin, Europe
Market Wizard
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,103
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It is unusual to trade calendar spreads for index futures. For futures based on a price index (case ES) the spread only depends on dividend and interest rate expectations and the nominal value of the stock basket. For index futures based on a total return index (case FDAX) the spread only depends on interest rate expectations and the nominal value of the stock basket.
If you enter a spread on index futures, there is no reason that its fair value changes, unless there are substantial changes to the short end of the yield curve. Playing an arbitrage game to exploit temporary market inefficiencies in the pricing between two contracts is not something retail traders should try to do. This is the privilege of high frequency traders using bots, low latency connections and having lower commissions.
If you want to trade the yield curve, then you would trade spreads on interest rate futures.
If you want to trade cyclical patterns in physical supply and demand, then you should stick to commodities and avoid financial futures. In this context gold futures should be considered as financial futures.
I do not see a single reason to buy or sell a spread on index futures, except for rolling my position from the old to the new front month around rollover day.
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