Future Spread Trading

Junkou · Apr 22, 2020

There is no position for Thursday, April 23. Still holding cash.

Junkou · Apr 23, 2020

Positions for Friday, April 24:

100% long in MNQ (NASDAQ 100), 100% short in MYM (Dow Jones).

traderjo · Apr 23, 2020

so +2/-3 ratio?

Junkou · Apr 23, 2020

traderjo said:
so +2/-3 ratio?

That's right.

traderjo · Apr 24, 2020

trying on sim ...but how do I decide to go long spread or short spread!

Junkou · Apr 24, 2020

Friday, April 24:

MNQ is up 1.95%, MYM is up 1.35%, so the spread trading makes 2x(1.95%-1.35%)=1.2%.
Nice and safe profit.

So this week's profit is 3%-0.1%+1.2%=4.1%.

There is no position for next Monday. Holding cash again. Market is likely to drop in next two days.

Overnight · Apr 24, 2020

Junkou said:
Positions for Friday, April 24:

100% long in MNQ (NASDAQ 100), 100% short in MYM (Dow Jones).

This is going to blow up in your face when the two diverge in opposite directions, which has happened a few times in the past few earnings seasons. Use caution.

Junkou · Apr 27, 2020

For Tuesday, April 28:

100% Long in MNQ, 50% short in MYM, 50% short in M2K.

traderjo · Apr 27, 2020

Trying to understand why 3 legs? Short is made up of DJ and Russell
What would be the reason for not doing just MNQ/MYM
Also with such a spread do you get cross margin relief?

Junkou · Apr 27, 2020

traderjo said:
Trying to understand why 3 legs? Short is made up of DJ and Russell
What would be the reason for not doing just MNQ/MYM
Also with such a spread do you get cross margin relief?

Any cross will get margin offset. The leverage is only 2x on one side, so the margin is always not an issue.