What is it that you mean by "delta"?
spread
CL spread questions
- Thread starter LCFXTRADER
- Start date
spread
1) "Delta" is generally associated with options trading.
2) The spread, i.e. the price differential between the two contract months, can continue to decline but also be vulnerable to big retracements, especially if something "weird" were to happen in Russia or possibly if there is some type of "deliberate" pipeline/refinery "disruption" in the US. :eek:
1) "Delta" is generally associated with options trading.
2) The spread, i.e. the price differential between the two contract months, can continue to decline but also be vulnerable to big retracements, especially if something "weird" were to happen in Russia or possibly if there is some type of "deliberate" pipeline/refinery "disruption" in the US. :eek:
So there can be a spread of lets say 20 points or more on the day of expiration? The 2 contracts will not adjust were the price are the same on expiration day. Is that correct? We use delta in the aerospace business to measure the difference between 2 numbers. Sorry to confuse.
1) The spread could decline to 20, 10, 0, -10 or even -50....... or revert to 50, 100 or 200.
2) Yes, the prices could be the same on expiration, i.e. the spread is zero.
3) I believe it's more important to realize that the spread can become much more volatile as the rollover into the July contract occurs and especially during the last days of trade until the expiration of the June. :eek:
4) Chances are, you are not going to get out of the trade at the best tick possible. Everybody "leaves money on the table".
1) The spread could decline to 20, 10, 0, -10 or even -50....... or revert to 50, 100 or 200.
2) Yes, the prices could be the same on expiration, i.e. the spread is zero.
3) I believe it's more important to realize that the spread can become much more volatile as the rollover into the July contract occurs and especially during the last days of trade until the expiration of the June. :eek:
4) Chances are, you are not going to get out of the trade at the best tick possible. Everybody "leaves money on the table".
Thank you. I called the CME and left a message. I would like to know if they have price data related to calendar spreads for years past. Do you know of any sites that have this available?
1) They are "pretty good" about responding to eMails.
2) The data is available but you might have to pay for it. You might be able to "mine" something off this site with proper word searches from old threads. You could luck out and somebody can chime in with the names of sites.
I don't think you understand convergence. There is a basis price between oil delivered at a specific point (in this case Cushing, OK) and the actual futures price. The futures price is NOT suppose to converge. The basis is part of the embedded logistics cost of actually moving oil. Unless you think that is suppose to happen for free. And for future reference, the term delta is a derivative. It measures "rate of change", not the spread between two products.
I think OP is confusing spot physical with the spot future and I agree with Mav: there is no economic reason for month 1 and month 2 futures to converge. There is a ~30 day difference between their respective delivery windows.
There is an economic reason for the physical market and the expiring future to be relatively flat - or within 30 cents of one another - however there is no hard and fast rule.
There is an economic reason for the physical market and the expiring future to be relatively flat - or within 30 cents of one another - however there is no hard and fast rule.
Thanks everybody. I know have a better understanding.