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Cool paper (found via Ernie Chan's blog) about extracting roll returns from VIX futures. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2094510 Basically, if VIX futures are in contango, short the closest front month with a matching ES contract (Mar, Jun, Sep, Dec), and do the reverse...

This isn't necessarily a calendar spread question, but...since we're talking about seasonals and energy spreads, has the 3-2-1 NYMEX crack gone out the window as far as being a fair representation of what refiners actually experience? Right now, the December 3-2-1 NYMEX is about $30/barrel...

Dukascopy has free data for a number of time frames. It should be right on the homepage of dukascopy.com

Why don't you rent a server, either through your broker or even Amazon EC3? You can load whatever you want on it and use your laptop to turn the strategy on and off. Lease rates have become reasonable. Your broker can even co-locate for a higher price. Velocity Futures gives a pretty good...

In THEORY, beta gives you more information, because it also takes correlation into account. An ATR ratio just looks at relative volatilities. So, a stock with beta of 0 could have the same ATR. HOWEVER, beta doesn't necessarily predict movement. That same zero beta stock may still bounce...

The ACD Thread on this forum is probably the best source for discussion of this strategy. It primarily uses Marc Fisher's interpretation of it, but is pretty wide-ranging (and civil, if you can believe that!)

Are you entering the order as two seperate legs using an autospreader (or floor broker), or are you trading the exchange-supported spread (which most calendar spreads are). Exchange-supported spreads have their own order books, so I don't see why you couldn't put in a "resting" order - you can...

I would add that just looking at a chart of one contract minus the other is not helpful. That is the LAST minus the LAST. One contract could have traded 5 mins ago, and the other 5 secs. You need to look at the DOM, like in your screenshot.

Someone like Bone could probably give you a more complete answer, but I also looked at this phenomenon with dreams of riches, lol. Exchange-traded spreads are tradable with the right platform/broker. There are some threads somewhere on this forum which address this. (Or ask Bone.) Legging...

The second paper wouldn't attach. Probably too big. Google "GMO beta puzzle."

Here are two excellent papers that explore these kinds of questions - albeit from a volatility, not theta POV. (Being short volatility on most vanilla options implies being long theta - although I'm sure martinghoul and sle could give me 100 examples where that is not the case.) For those who...

The tradingblox forums. High signal to noise ratio on that one. (You don't have to buy the software to participate.)

Go find the ACD thread on this forum. Read EVERY page. Your eyes will be opened. Remember, though, it's not a system, it's a method. You sound like you already have some decent entry/exit rules. ACD will keep you out of the chop.

There are a lot of prop trading firms in Chicago that you could talk to. Even if they don't accept your strategy, you could get a job there. Talk to Maverick.

I didn't read Option Trading, but the author ("filthy" on the NuclearPhynance forum) said that Volatility Trading is much more advanced. He intended Option Trading to be more of an introduction.

You should read Volatility Trading, by Euan Sinclair. He goes over a lot of different delta hedging models. Some more food for thought here: http://www.math.ku.dk/~rolf/Wilmott_WhichFreeLunch.pdf

Pairslog is excellent. It is free (for now), and has a screener and a simulator. There is a bit of a learning curve figuring out how all the tools work, but very useful nonetheless. www.pairslog.com

What about Octave? Isn't it an open-source equivalent of Matlab? Sort of like GIMP is to Photoshop?

From somebody who is already interested in spreads...What do you think of using ACD directly on the spread value, rather than using ACD on the "strong asset" then spreading it off a "weak" asset? So, instead of saying "oil is the strongest risk asset, so I'll go long CL short ES", you set up...

It's pretty easy. You just type in the appropriate math for your two (or more) contracts (which use standard symbols and annotation.) Here is a link to the Jan Brent - Jan WTI spread...