Bone's Monday 3/16 GamePlan-Spreads

bone

bone

In terms of my forthcoming SpreadProfessor membership website, I wanted to share my personal Monday 3/16 game plan:

Value-weighted Equity Pairs:
WMT/TGT-Sell 1:1.5
EXC/XLU-Buy 1:2
JNJ/PG-Buy 1:1
XOM/BP-Sell 1:2
IBM/HPQ-Sell 1:3
ICE/CME-Buy 3:1
CVX/COP-Buy 1:1.5
XLP/SPY-Buy 4:1
CPB/XLP-Buy 1:1 *** strong bias
POT/MOS-Buy 1:2
SO/XLU-Sell 1:1
PFE/XLV-Buy 2:1

Yield Curve-DV01 weighted 2:1 for single lots; 1.6:1 for up to 50 lots
CBOT Fives to Tens - Buy
CBOT Tens to Thirties - Buy
the FiT has a little better Buy profile than the NoB

Energy
Rbob Crack, Nymex-Globex exchange supported 1:1, - Buy
Nymex Crude Butterfly, May-June-July, 1:2:1, Sell May
Nymex Nat Gas Butterfly, April-May-June, 1:2:1, Buy April
 
11:00 am CDT Bone Position Update - Marks

WMT-TGT: +$0.22
EXC-XLU: ($0.18)
JNJ-PG: ($0.31)
XOM-BP: ($0.38)
IBM-HPQ: ($2.37)
ICE-CME: +$7.21
CVX-COP: ($0.41)
XLP-SPY: +$0.42
CPB-XLP: +$0.29
POT-MOS: ($0.17)
SO-XLU: +$0.22
PFE-XLV: +$0.15

Equity Pairs Mark: +$4.69

Yield Curve, CBOT Fives to Tens; 2:1: +$703

Nymex RBOB Crack; 1:1: +$330

Nymex Crude Fly; 1:2:1: +$20

Nymex Nat Gas Fly; 1:2:1: + $170
 
Thanks to all for the IMs supporting the forthcoming launch of the SpreadProfessor membership website. Two existing services I really respect belong to Linda Bradford Raschke and Robin Mesche. This is going to be a serious endeavor designed for serious professionals and promising credentialled candidates willing to make a committment to day trading all sorts of spreads. This includes cleared and bilateral OTC, futures, cash, forex, and equity markets.
 
I have no idea what a cointegration vector is.

I weight equity pairs by currency value, and I weight futures combinations by historical volatility and equalized value correlation. Your clearing firm's risk department or an exchange will also be able to provide cross-margin rates for many popular futures spreads.

Many of my favorite spreads - intramarkets like NYMEX HO crack vs. ICE GasOil crack, would require some independent creativity on your part. A Bloomberg's beta function makes the exercise easy, but I will show SpreadProfessor website members how to do it for themselves.
 
You must log in or register to reply here.
Back
Top