Totally agree - not sure how you do that on an automated basis - but as Foo, I think, said earlier, you do need to be in front of the screen watching the market a lot knowing where you can get filled etc. quite a bit of fly trading in oil boils down to getting into the individual spreads at good levels
Futures spread trading
- Thread starter Lucias
- Start date
Totally agree - not sure how you do that on an automated basis - but as Foo, I think, said earlier, you do need to be in front of the screen watching the market a lot knowing where you can get filled etc. quite a bit of fly trading in oil boils down to getting into the individual spreads at good levels
Pardon my ignorance .. but are we talking an options butterfly or an inter-month futures spread?
[HFT-Equities-Delta-One-Portfolio-Guy .. Mostly]
Futures butterfly, long the first spread, short the second. I suppose a genuine fly would be consecutive months but as long as the wings are balanced they work. You can stick them in an autospreader, but a lot of guys leg into them via the individual spreads for a bit of edge - when the market is fairly busy and trading both sides, or when it's trending its a good way of trading - you can get on a spread, see it go 2 points right and lock that in with the fly - then you are more comfortable running it in larger size, especially when the market is like this.
The CME site has carry charges on the individual commodity pages. You have to dig a little, but they are there. It even has a spreadsheet to calculate the current wheat carry charge (which is a variable charge based on the previous spread's carry charge.)
http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/variable-storage-rate.html
Thanks DRM7 - I saw the stuff on CME re wheat. If I could get the cost of carry for other commods Id be away!
I was hoping there may be some commodity web site that has the details. Must be out there somewhere.
Rose - I want to take a look at spreads as to their relationship with the cost of carry - how the spread moves as it approaches full cost of carry - which if I understand correctly it will never reach cost of carry unless the cost actually increases eg rise in interest rates.
I was hoping there may be some commodity web site that has the details. Must be out there somewhere.
Rose - I want to take a look at spreads as to their relationship with the cost of carry - how the spread moves as it approaches full cost of carry - which if I understand correctly it will never reach cost of carry unless the cost actually increases eg rise in interest rates.
OK cool, maybe one of those seasonal research places can help i.e. MRCI - although surely Bone will know a lot about this.
In Brent and Gasoil futures the spread can ignore cost of carry, have seen WTI do it as well - because your definition of cost of carry can be outweighed by short term supply/demand - e.g. the front WTI spread has been below -$1 before, which is out of line with what I understand CoC to be (maybe 50c) but the glut at Cushing pushed it wider. On the other hand I think the Gold CoC is probably easy to work out, but not many people trade Gold spreads, only for rolls etc. Be interested to see what you come up with though.
Just got this message from a client in London who has been scalping ES for several years and who hired me a few months ago to teach him how to spread trade - the original philosophy was that he would continue with his core ES strategy and swing trade futures spreads as an additional income stream:
"ES is totally untradeable... im thinking i might actually not go back to it even when the volatility settles.
Ive not been trading at all the last week after getting burnt last monday and realised i was going to start digging a hole if i carried on in these conditions.
you may now have a total convert ;-)"
"ES is totally untradeable... im thinking i might actually not go back to it even when the volatility settles.
Ive not been trading at all the last week after getting burnt last monday and realised i was going to start digging a hole if i carried on in these conditions.
you may now have a total convert ;-)"