CL Spreads

Of course, I covered my short in the Oct-Nov Crude Cal yesterday at 8:30 am and somebody comes in at 7:09 am this morning and sells 4,251 cars from -120 to -125
 
Quote from bone:

Of course, I covered my short in the Oct-Nov Crude Cal yesterday at 8:30 am and somebody comes in at 7:09 am this morning and sells 4,251 cars from -120 to -125
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Nice trade, but what made you exit ?

Regards, local
 
It was a previously set swing low - wasn't going to be a pig, just setting an achievable short term goal. Generally speaking I want to get taken out by either the stop or the target and move on to the next trade.

Hopefully this spread will pick up in vol - natty, I'm afraid, looks dead to rights until supply or weather gets interesting.
 
How can you do such large volume on spreads? Do you scale in orders, or just accept a bit of slippage on longer-term trades? WTI Crude is very liquid, but Natural Gas and RBOB is less so. I see less than 10 contract orders pushing the price by a couple of ticks during slower periods.
 
Oh, the exchange-supported calendar spreads are a few to several hundred contracts up typically. You can get alot done there. When I want to do flys or condors I am using the autospreader to do multiple spreads against each other. Great fun.
 
Does anyone here trade the calender spread intraday? Ive got a decent set of indicators that have worked on other spreads AUD-YM. Slippage was a problem though with bid/ask. Curious to here if CL spreads are tradeable intraday?
 
Great question. I used to day-trade them extensively for size from Spring 2009 and back because the trading ranges were so substantial.

I still trade the CL spreads extensively, as do my clients, but we are typically swing-trading them for 2 or 3 day time horizons. The SPAN spread credit margin is quite favorable.
 
Quote from bone:

Great question. I used to day-trade them extensively for size from Spring 2009 and back because the trading ranges were so substantial.

I still trade the CL spreads extensively, as do my clients, but we are typically swing-trading them for 2 or 3 day time horizons. The SPAN spread credit margin is quite favorable.
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Just to be clear, are you referring to futures calendar spreads or options on futures? Why does a 2-3 day swing offer a better risk/reward right now?

Also, are there any spreads that are currently favorable for day-trading? (3-2-1 NYMEX crack?)
 
Exchange supported futures spreads. They are executed as one price and are internally matched by the exchange's order matching engine. Once executed, your platform fill window and indeed your statement will show two months and two leg prices.

In my opinion exchange-supported implied spreads are one of the best things ever invented. Superb.

Nymex Crude Oil Oct-Nov Calendar Spread:

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Nymex RBOB Gasoline Crack Spread:

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These are remarkable instruments of warfare, and have been putting steady coin in the bank for several years - week in and week out. Love them long time.
 
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