CL spreads

[ogarbitrage]

Interesting, but just a few [risk-adjusted] ticks to make...

 

[LCFXTRADER]

I have a question for you guys...

Position:

Short 2 CL.H14 $100.81
Long 2 CL.J14 $100.57

Will the CL.J14 contract equal the H14 contract settle price when it expires on 2/20/14?

 

[nazzdack]

----question....
----Position:
----Short CLH....
----Long CLJ....
----CLJ equal CLH14....

1) It could but it's very unlikely.
2) The factors unique to the March should keep it at some premium to the April, as long as nothing "too weird" happens between rollover and expiration.

 

[Mandrykk]

Looks like a Backwardated curve. Not sure why you think -3 is out of line? If you want to watch the curve you need trading software the supports exchange supported calendar spreads. TOS doesn't have them.

 

[cdcaveman]

Looks like a Backwardated curve. Not sure why you think -3 is out of line? If you want to watch the curve you need trading software the supports exchange supported calendar spreads. TOS doesn't have them.

I trade with Interactive brokers.. They support exchange quoted calender spreads..


Current front flys...

 

[bone]

How has Interactive Brokers been in terms of correctly margining futures spreads for positions held overnight ? Do they follow the exchange SPAN margin credit offsets ? Any feedback positive or negative would be useful.

 

[Maverick74]

Looks like a Backwardated curve. Not sure why you think -3 is out of line? If you want to watch the curve you need trading software the supports exchange supported calendar spreads. TOS doesn't have them.

Actually TOS does have them.

 

[cdcaveman]

How has Interactive Brokers been in terms of correctly margining futures spreads for positions held overnight ? Do they follow the exchange SPAN margin credit offsets ? Any feedback positive or negative would be useful.

Not exactly sure... But I know it the case of vix cals they do there own thing....I would lean towards no... IB auto liquidates and creates margin squeezes that arent exchange induced

 

[bone]

I was afraid of that... I've had plenty of clients who come to me clearing IB, and they end up using a larger Chicago FCM because of margining issues - intraday credits especially.

That's too bad, because IB should be a great spread clearing alternative.

I wonder if their risk system is set up to cross margin intraday...

My sense is that they treat each spread leg as outright, flat price risk which would be incredibly wrong.

 

[FCXoptions]

Are the CL calendars for later in the year (CLX4/CLZ4) usually as wide as they are right now(in March)? I need to go back and look at all my data, but they seemed a little wider than I anticipated considering they are 7 months out or so.