Do you know of a good book that talks about the season implications of CL spreads, such as when historically speaking Contango tend to shrink, and when tends to expand.
Thanks.
CL Spreads
- Thread starter shep1487
- Start date
Do you know of a good book that talks about the season implications of CL spreads, such as when historically speaking Contango tend to shrink, and when tends to expand.
Thanks.
Haha hit your target and still not happy..... thought it was nicely timed myself. If you want less snoozing you should have been on the arb today
http://futuresource.quote.com/chart...650x450&d=medium&b=bar&st=BOLL(20,2);RSI(14);
not sure on try v bund, FI is not my forte.
why do you hate the arb? ranges ok, then snaps out which can be ok too (strict stops/stop management is a must obv.). can day trade ranges etc, can scalp it i reckon, and can also trade fundamentals if you know your stuff a little bit. plus ice has liquid market in it so you can trade in one go without legging.... lots of fans in terms of locals in london. interested to hear your thoughts.
why do you hate the arb? ranges ok, then snaps out which can be ok too (strict stops/stop management is a must obv.). can day trade ranges etc, can scalp it i reckon, and can also trade fundamentals if you know your stuff a little bit. plus ice has liquid market in it so you can trade in one go without legging.... lots of fans in terms of locals in london. interested to hear your thoughts.
It has just never suited my eye, and I didn't like the P&L swings when I did trade it. I even bought Platt's data for barge offloadings and did pricing calculations including FX for basis calculations (cash fair value).
I have clients that use my model on it and trade it and they make money on it, but I don't even have it loaded on my scanner or charts.
Having said that, I will admit to trading the Brent Front Calendar versus the WTI Front Calendar from time to time. That's more my style, anyway. Most of my clients love the RBOB and HO cracks with my model, but I'd rather go 3:2:1 or Gas/Oil Crack legged 5:4.
That's just me. I'd rather lever the living hell out of a nice, smooth, well behaving spread because I'm older now and I like to put on longer timeframe positions and let them work. You can make $15K in a day with 500 butterfly spreads on, or you can make $15K in a day with 25 Crack Spreads on. The bottom line, after all, is the bottom line. I spend time with clients, the golf course, and one of the boats. I've got three kids in junior high, HS, and college. It's just perspective. Some of my clients are very, very good traders. I reckon that three of them have made more money in their 20's than I've made in my lifetime.
We have alot of spread combinations to look at, and with the model and the scanner doing all the work on the entry side analytics I try to get into a 'cherry-picking' mentality in terms of trade set-ups. Each one of my clients tends to eventually gravitate towards a risk profile and frequently a market space that really seems to mesh with them.
I have clients that use my model on it and trade it and they make money on it, but I don't even have it loaded on my scanner or charts.
Having said that, I will admit to trading the Brent Front Calendar versus the WTI Front Calendar from time to time. That's more my style, anyway. Most of my clients love the RBOB and HO cracks with my model, but I'd rather go 3:2:1 or Gas/Oil Crack legged 5:4.
That's just me. I'd rather lever the living hell out of a nice, smooth, well behaving spread because I'm older now and I like to put on longer timeframe positions and let them work. You can make $15K in a day with 500 butterfly spreads on, or you can make $15K in a day with 25 Crack Spreads on. The bottom line, after all, is the bottom line. I spend time with clients, the golf course, and one of the boats. I've got three kids in junior high, HS, and college. It's just perspective. Some of my clients are very, very good traders. I reckon that three of them have made more money in their 20's than I've made in my lifetime.
We have alot of spread combinations to look at, and with the model and the scanner doing all the work on the entry side analytics I try to get into a 'cherry-picking' mentality in terms of trade set-ups. Each one of my clients tends to eventually gravitate towards a risk profile and frequently a market space that really seems to mesh with them.
Great reply, totally agree that you have to find what works for you.
Trading the front Brent vs the front CL is the same as trading an arb calendar spread, I've seen people do it with half/full yearly spreads (Jun/Dec Dec/Jun Dec/Dec) as well, with success. I think the boxes are smoother spreads, and fit entirely with the points you made. Maybe a bit too long term (i.e. days rather than intraday) for me.
Interested in your 5:4 crack, I am familiar with the 4:3 exchange quoted crack. How do you price the 5:4? still using the same specific density (??? not sure, the conversion factor...):
i.e.
(Gasoil/7.45) - Brent = Standard Crack
When I buy I buy 4 Gasoil and sell 3 Brent and vice versa.
Is the 5:4 the same pricing formula but different leg volumes? Can't quite get my head round whether that works or not.....
Trading the front Brent vs the front CL is the same as trading an arb calendar spread, I've seen people do it with half/full yearly spreads (Jun/Dec Dec/Jun Dec/Dec) as well, with success. I think the boxes are smoother spreads, and fit entirely with the points you made. Maybe a bit too long term (i.e. days rather than intraday) for me.
Interested in your 5:4 crack, I am familiar with the 4:3 exchange quoted crack. How do you price the 5:4? still using the same specific density (??? not sure, the conversion factor...):
i.e.
(Gasoil/7.45) - Brent = Standard Crack
When I buy I buy 4 Gasoil and sell 3 Brent and vice versa.
Is the 5:4 the same pricing formula but different leg volumes? Can't quite get my head round whether that works or not.....
I am constantly scaling the Gas/Oil vs. Brent spread with automation so I am frequently never completely hedged. Can't show big orders, so will do a 2:1 and then a 2:2 (4:3) or three 1:1s and then a 2:1 (5:4). Most of my synthetic spreads I do that way - iceberg the piss out of them.
Bottom line: the 0.08 tail or something like it is always hovering around.
Bottom line: the 0.08 tail or something like it is always hovering around.