CL Spreads

Also, on your trade execution front-end go into your Market DOM/Order Ticket and adjust your settings for 'implieds ON'.
Simple on TT. With CTS, the implied volume at a price is in parentheses.
 
In light of last weeks inventory report which obviously gave this market some oomph, I was curious what everyone's expectations are for the first few months calendar spreads in here. These seem to be getting pretty tight with the x/z inside of -.70 now.
 
My guys started getting long Nov-Dec on September 24th, have been pressing ever since, and have an ultimate profit target of - 50.
 
Yea nice catch on that one. I don't see any reason to think the Z/F can't do what the Nov/Dec and several before it have done, breaking down past -1.50. And if you hit your target on that one at 50, I'd be tempted to take the other side of it.
 
Great Thread Ladies & Gents :D

Working to digest details - Here are some questions for any / all - If you have some time to respond

1. Do you think the new COT format which provides a greater subdivision of OI will be helpful for spread traders going forward?

2. How critical is COT review, vs monitoring individual OI on a month to month contract basis.

3. Which is COT report delivers better insights regarding spread movement Futures or Futures + Options?

4. Where does FX considerations play into your analysis?

5. Besides Brent, what other benchmarks to you monitor as part of 'Arb' considerations?

6. At the end of the day energy demand is a function of a number of underlying factors. We all know there are seasonal tendencies that are driven by winter / summer factors. What other economic factors do you consider as background to spread positioning / analysis?

7. Ballpark capitalization required to spread trade? I'm not looking for a lecture on risk / reward, positioning, etc. Just some ball park figures you think fill the bill in general terms for someone who understands the basics of money management.

8. Do you feel that spread analysis can be helpful for flat price traders?

9. Do you feel that regulated futures are being bypassed with move volume moving toward swaps (Clearpoint and it's ICE equivalent)?

I am coming back trading after many years away. I used to watch CL spreads but not as part of a defined plan / trade focus. My intention is to do my own research on the above questions. Just looking here for a few insights from anyone currently trading spreads. The arguments for trading spreads can be pretty compelling, but I suspect, like so many other things - It's much easier said than done. :D

Thanks/
FMR
 
Personally, I don't pay attention to COT. Never really could divine much out of it - really after the fact.

Spread trading (and correlations specifically) can be used to great advantage by flat price traders. Big time. Huge. Best indicator going because of the latency advantage over the traditional technical study. What Murphy didn't really expound on so much was how powerful it was in a HF application. Monstrous.

Yes, there is seasonality and cyclical vol behavoir with CL spreads. Lends itself better to swing trading these days. But there are also HO and RBOB calendar spreads as well. The cracks are dandy if not a bit on the 'chippy' side. Lots to do.

Please don't trade mean reversion.

Swing trade the CL spread.

Price trumps all. There is nothing you will uncover on Platt's or Bloomberg or whatever that isn't already priced into that last price print.

There is something to the ETF / Goldman roll.
 
The cot is crucial to trading both flat price and spreads. If you don't understand it you are neglecting a very valuable tool.

Regards, local
 
Which brokers do you guys use for spread trading?

I trade through IB and they only allow calendar spreads within the same futures contract, but not inter-commodity.

Any good online brokers that allows inter-commodity spreads trading? (like Crack spread on CL and RB)

Thanks in advance.
 
bone & local: Thanks for your replies. I honestly expected both of you to disagree on COT. I can appreciate both perspectives and will work this out for myself as I do more research :)
 
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