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Not unless you are trading intramarket spreads like CL U2 vs CL Z2, or GE Z2 vs GE Z3. Those are all traded in a 1:1 ratio ( which I am assuming satisfies your description of "none of the ratio"). If you are spreading two different instruments, each with a different volatility and each with...

Age has nothing to do with success in an electronic environment. I think that it is a fair point to give yourself some time and be patient in terms of a learning curve - doctors and plumbers are better with experience as well. Of course, the challenge with trading is that self-taught...

How is that so ? There was a counterparty to every one of those trades.

With the AutoSpreader, you have alot of flexibility. You can use the SmartQuote function to stay off ( away ) from the market until prices line up to your pre-defined levels. This is important for compliance with the trading exchange 'message-to-fill' ratio policies. You can also specify...

For spreads to get margined without a published exchange credit ( like a stock or a basket of equities versus a futures contract ) you will need an omnibus account at a more sophisiticated clearing firm whose risk department understands and has seen these types of strategies - which means prime...

This is the deepest rabbit-hole in trading - much more so than interest rates IMO. Fuels, weather, transmission, generating unit availability, ISOs and the Incremental/Decremental Markets, bilateral OTC forwards and financially cleared forwards, ICAP Chapel Hill showing you one thing and Amerex...

I think you are spot on with regards to comparing the hedge ratio for a futures spread to an options delta adjustment. The hedge ratio changing depends upon the volatility of the instruments used. For fixed income spreads where the futures contracts are fungible, the underlying cash securities...

In this case, I did indeed simply average the 20 day historical volatility ( of the futures contract and the stock basket at the same time stamp ) of the spread differential against the currency value of the futures contract versus the comparable value of the stock basket spread differentials (...

\ It would only be theoretical that you could get precise fills on a repeatable and consistent basis. Doesn't matter what the leg configuration of the spread or the execution platform. That was my original point.

For myself, when use AutoSpreading or AutoTrading software on the Trading Technologies Pro Platform - I always specify a "payup tic" range if the leg fill gets missed. My only point being, that you should not allow unfilled legs 'to run wild'. I personally use various combinations of exchange...

Actually, the NFA referred the case to the CFTC after the NFA did all the ground work investigation. My point being, the NFA is also an excellent resource for justice - and the NFA might be more aggressive and responsive than the CFTC. The NFA is very proactive with respect to following up on...

One minute bar overlays - Rio Tinto is the orange bars last priced at 45.59, and the Comex Copper front month future is the plum bars last priced at 338.

As you might suspect, the Comex High Grade Copper Future and the stock Rio Tinto have about a 94 % positive correlation daily close-on-close over the past two years. When we construct a spread, we find that the volatility weighting is significantly less than the currency adjustment - so we...

I used to use standard deviations extensively - and of course, I faded them. Worked from the late 1990's until about 2006-ish. Since that time, fading markets is an invitation to donate capital to other market participants. Now, I use a model working in multiple timeframes that is built to...

There does not seem to be alot of published information on the art outside the options realm. I like to use butterflies and condors to get different curve shapes, sometimes to build my own product that seems to trend and "behave" better, or to even supress volatility ( especially useful in...

You can indeed customize the CTS charting studies - I have a few clients who have modified CTS to use my proprietary study which I designed for spreads. What you need to realize is that the CBOT Exchange Interest Rate Spreads do in fact always reset to zero every day. It is an idiosyncracy...

It means that if you have multiple products that are very highly statistically correlated to each other, that cointegration presents opportunities for 'lead-lag' arbitrage. Many very developed and complex traders will use these relationships as highly effective and reliable entry signal...

The CME publishes new position hedge ratio and charting price ratio guidance for each CBOT Treasury Contract Expiry according to the cheapest-to-deliver ( in this case for the Sept 12 contracts ). Charting the CBOT 10 Year Note versus 30 Year Bond Spread: Charting the CBOT 10 Year...

Here are the performance bond margins for a flat price Nymex Crude Oil futures contract: Here are the performance bond margins for a few Crude Oil Butterfly and Condor futures spreads. Again, this is the cheapest futures leverage going:

At $5500 per head, is anyone making any money on this ?