I should probably be more precise about my exit of my 50*SK5 - 100*BOK5 spread.
My exit was today 02/15 at the close at 14937 with 2 contracts.
My exit was today 02/15 at the close at 14937 with 2 contracts.
Andy's Spread Trading Journal
- Thread starter Jordan_Andy
- Start date
All I can say Steve is "Good Idea"!
Andy
Andy
Comment
My LHM5 - LHJ5 spread is going nowhere since one week. I plan to take some money from the tabel for 2 contracts tomorrow if the spread doesn't take out the high at 4.5
My LHM5 - LHJ5 spread is going nowhere since one week. I plan to take some money from the tabel for 2 contracts tomorrow if the spread doesn't take out the high at 4.5
Hi Andy,
If you are calculating your SK/BOK spread on an equity basis, I think you need to check your formula.
Backwardation
If you are calculating your SK/BOK spread on an equity basis, I think you need to check your formula.
Backwardation
You are right of course. The Soy - Beanoil spread is
50*SK5 - 600*BOK5 spread
Sorry!
Thank you Backwardation!
50*SK5 - 600*BOK5 spread
Sorry!
Thank you Backwardation!
FredBloggs
Guest
hi andy - some questions...
1/do you have a spread trading plan like you use in your day trading journal? if so, can you publish it here?
2/i am confused about this trade:
3 x 100*ERH5 - 20NQH5 - soo you went long 300 er, while shorting 60 nq right?
1 pt on er is $100
1 pt on nq is $20
2a/so point for point, if you have 300 er and short 60 nq, then there is a big imbalance right?
1 pt up move in er will give $30,000 and for nq -$1,200. i know that both will not move point for point exactly at all times (thus the spread) but maybe you see where i am confused.
cme suggest a margin ratio of 1:2 (1xer 2xnq) . you have gone the other way! you have gone 5:1 not 1:2! so, is this a type error?
2b/ the cme margin credit for this spread is posted as 91%. (assuming 1:2) does this mean they refund 91% of the full margin for both positions?
http://www.cme.com/html.wrap/wrappedpages/clearing/pbrates/PBISInterEQ.htm
2c/ so if er is $3375 margin, and nq is $3750, and i assume you did 1x er - 2 x nq (1:2 as cme) then we have:
3375 + (3750 x 2) = $10875.
-91% means we put up $978.75 per spread at 1:2. As you may have loaded up with 3 additional nq (1:5), (3x 3750) your total margin will be $12,228.75. You did 3 of them, so with your account of $20,000 you would have been unable to do this without more margin.
if you really did do 300 er - 60 nq then you would have been well and truly busted with a $20000 account!!
sorry for this - i am not trying to be a troll, or disprove your trades or anything, as i think the problem will lie in my understanding of spread margin more than anything - or may be a type error of yours.
i think its great that this thread shows an original way of trading, and your day trading thread can give confidence to aspiring traders that it is possible to make money day trading.
thanks again for your input.
1/do you have a spread trading plan like you use in your day trading journal? if so, can you publish it here?
2/i am confused about this trade:
3 x 100*ERH5 - 20NQH5 - soo you went long 300 er, while shorting 60 nq right?
1 pt on er is $100
1 pt on nq is $20
2a/so point for point, if you have 300 er and short 60 nq, then there is a big imbalance right?
1 pt up move in er will give $30,000 and for nq -$1,200. i know that both will not move point for point exactly at all times (thus the spread) but maybe you see where i am confused.
cme suggest a margin ratio of 1:2 (1xer 2xnq) . you have gone the other way! you have gone 5:1 not 1:2! so, is this a type error?
2b/ the cme margin credit for this spread is posted as 91%. (assuming 1:2) does this mean they refund 91% of the full margin for both positions?
http://www.cme.com/html.wrap/wrappedpages/clearing/pbrates/PBISInterEQ.htm
2c/ so if er is $3375 margin, and nq is $3750, and i assume you did 1x er - 2 x nq (1:2 as cme) then we have:
3375 + (3750 x 2) = $10875.
-91% means we put up $978.75 per spread at 1:2. As you may have loaded up with 3 additional nq (1:5), (3x 3750) your total margin will be $12,228.75. You did 3 of them, so with your account of $20,000 you would have been unable to do this without more margin.
if you really did do 300 er - 60 nq then you would have been well and truly busted with a $20000 account!!
sorry for this - i am not trying to be a troll, or disprove your trades or anything, as i think the problem will lie in my understanding of spread margin more than anything - or may be a type error of yours.
i think its great that this thread shows an original way of trading, and your day trading thread can give confidence to aspiring traders that it is possible to make money day trading.
thanks again for your input.
Hi Fred,
1/do you have a spread trading plan like you use in your day trading journal? if so, can you publish it here?
No, because trading spreads is a bit more complex. You are in different markets and in different month. Of course I do plan my trades and I follow some "general rules" like using the Ross Hook or the 1-2-3s for my entry but each trade is planed separately.
2/i am confused about this trade:
3 x 100*ERH5 - 20NQH5 - soo you went long 300 er, while shorting 60 nq right?
1 pt on er is $100
1 pt on nq is $20
NO. The reason why I am watching the spread in the form of 100*ERH5 - 20*NQH5 is the difference of the contracts.
As you say...
1 pt on er is $100 and 1 pt on nq is $20.
I am not trading 300 ER and 600 NQ. I am trading 3 ER and 3 NQ but I am watching the equity spread. You multiply each side of the spread with its value and you get an equity spread. An equity spread shows you exactly the movement in US$ on your charts.
Entry on 01/26:
ER at 615.8 and NQ at 1506.50
The value in US$ of ER was 615.8 x 100 = 61580 and of NQ 1506.50 x 20 = 30130.
This gives us an equity spread value of 61580 - 30130 = 31450 and this was our entry value in US$ on 01/26.
Margin for an index spread is around $2,500 per spread (depending on your broker and the contracts involved).
If anyone needs more information about equity spreads please send me an email and I will send you some notes about it.
Happy trading,
Andy
1/do you have a spread trading plan like you use in your day trading journal? if so, can you publish it here?
No, because trading spreads is a bit more complex. You are in different markets and in different month. Of course I do plan my trades and I follow some "general rules" like using the Ross Hook or the 1-2-3s for my entry but each trade is planed separately.
2/i am confused about this trade:
3 x 100*ERH5 - 20NQH5 - soo you went long 300 er, while shorting 60 nq right?
1 pt on er is $100
1 pt on nq is $20
NO. The reason why I am watching the spread in the form of 100*ERH5 - 20*NQH5 is the difference of the contracts.
As you say...
1 pt on er is $100 and 1 pt on nq is $20.
I am not trading 300 ER and 600 NQ. I am trading 3 ER and 3 NQ but I am watching the equity spread. You multiply each side of the spread with its value and you get an equity spread. An equity spread shows you exactly the movement in US$ on your charts.
Entry on 01/26:
ER at 615.8 and NQ at 1506.50
The value in US$ of ER was 615.8 x 100 = 61580 and of NQ 1506.50 x 20 = 30130.
This gives us an equity spread value of 61580 - 30130 = 31450 and this was our entry value in US$ on 01/26.
Margin for an index spread is around $2,500 per spread (depending on your broker and the contracts involved).
If anyone needs more information about equity spreads please send me an email and I will send you some notes about it.
Happy trading,
Andy
FredBloggs
Guest
andy - thanks very much for taking the time to reply.
i thought i had probably got something wrong!
i will pm you with my email address as i would be interested in that info.
thanks again.
fred
i thought i had probably got something wrong!
i will pm you with my email address as i would be interested in that info.
thanks again.
fred
Trades
I did exit the following spread today:
4 x LHM5 - LHJ5 at 2.62 on 01/26, risk is 400, basis is seasonal.
Exit on 02/22 at 4.25
Hyp. Profit is $2,608 - $200 commission = +$2,408
Hyp. Account at $29,052 now.
My stop on the S-BO spread is now at 15,667 for the last 2 contracts.
I did exit the following spread today:
4 x LHM5 - LHJ5 at 2.62 on 01/26, risk is 400, basis is seasonal.
Exit on 02/22 at 4.25
Hyp. Profit is $2,608 - $200 commission = +$2,408
Hyp. Account at $29,052 now.
My stop on the S-BO spread is now at 15,667 for the last 2 contracts.