CME Ratio'ed Metals Spreads !!

bone

bone

CME / Nymex / Comex is launching ratio'ed intermarket precious metals spreads, which is super awesome. This will work like the ratio'ed interest rate market spreads that have been trading on the CBOT / Globex for several years.

What this means is that the exchange will internally match ( leg ) inter market precious metals spreads in the correct hedge ratio. One order, and a singular order book price ladder. No manual legging risk or automated legging software required. Very nice.

http://cmegroup.mediaroom.com/2016-...ous-Metals-Spread-and-Ratio-Futures-Contracts
 
bone said:
CME / Nymex / Comex is launching ratio'ed intermarket precious metals spreads, which is super awesome. This will work like the ratio'ed interest rate market spreads that have been trading on the CBOT / Globex for several years.

What this means is that the exchange will internally match ( leg ) inter market precious metals spreads in the correct hedge ratio. One order, and a singular order book price ladder. No manual legging risk or automated legging software required. Very nice.

http://cmegroup.mediaroom.com/2016-...ous-Metals-Spread-and-Ratio-Futures-Contracts
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That is very good news.
 
Maverick74 said:
Do you know how they are doing the ratio? They really should be weighted by volatility and not notional contract value.
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I have no further info, but am dying to find out. They will probably change it every quarterly expiry and publish a fresh quarterly ratio .pdf sheet every quarter like they do the CBOT exchange supported intermarket interest rate spreads - my guess.
 
drm7 said:
Still double commission? (one commission per leg per side?)
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Sure, they're going to get the same pound of flesh whether the exchange internally matches them, or you leg them manually, or you have a platform like RTS or TT AutoSpreader.

Regardless, IMHO, this is huge. Legging a Shatz / Bobl spread yourself is one thing, but legging Gold vs. Platinum is worse than a gasoline or a heating oil crack which is just atrocious. If the exchange can do it at price levels I like then I am SO happy to pay the vig.
 
Btw looks like only gold/silver is a ratio and the rest are IS spreads. Also not sure what to make of the "for each day of the contract month" part.

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I applaud any exchange support that promotes spreads. But no interest in spreading these contracts.

Take the Gold/Silver spread, for example. Economists and financial journalists write about it. But for traders, it's poorly correlated and poorly cointegrated. It's really a currency vs commercial metal with little potential for an interesting intermarket relationship.
 
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