How do you approach trading spreads like this?

[bone]

Thanks Bone. I'm just exploring the whole idea of spreads as it's all new to me. I guess the cheapest way to make these long term synthetic CL condors out of exchange traded calendars would be to use TT Standard or Interactive Brokers, as CTS Core can't do it. I think I just need to get CTS and stick on sim for a bit.

I disagree - I have many clients using CTS-4 and I have used it.

It's OK to leg one calendar against another, and I show my clients how I personally do it to good effect. Thats where my pit trading experience helps.

 

[bone]

For flys, do you do them via equal-weighted wings? O your do something more sophisticated to make them neutral to the first and second order moves?

They're equal weighted if the duration term between legs is not extreme. When you start constructing intramarket spreads with 1 year of duration and more between legs, then your point starts to become valid - primarily due to convexity shift as much as the native volatility differences.

 

[Adam777]

I disagree - I have many clients using CTS-4 and I have used it.

I really know nothing about spreads and brokers and I'm trying to sort it all out in my head. I know that you are the authority on all things spreads so I really have appreciated you replying to my post.

CTS has various options at various price points:
http://www.ctsfutures.com/pricing/
Webtrader ($0/mth,50c/contract), Core ($25/mth,50c/contract); and Advanced ($200/mth+?/contract), and then various plugins including one called Trade Sniper.

I was interested in Core so emailed CTS.

Regarding CTS Core without any add-ons:

1. Can exchange traded spreads be traded and charted with a DOM as well?
2. Can synthetic spreads be traded and charted with a DOM as well?

Thank you for your assistance

Their reply was:

Adam, with the core package all exchange listed spreads can be traded and charted. To create your own spreads you would need our Trade Sniper. We have included a page about the sniper as well as our pricing.

Thank you
Support

Trade Sniper is an additional $50-100/mth: http://www.ctsfutures.com/pricing/

I'm just looking for a cost effective solution while I sim trade and try to work this out over the next few months. I'm probably wrong, but it looks like your your guys make long term synthetic flys and condors out of exchange traded calendars, and that really looks like a good direction to take.

 

[bone]

I'm probably wrong, but it looks like your your guys make long term synthetic flys and condors out of exchange traded calendars, and that really looks like a good direction to take.

I can confirm that. Also, it's not necessary to use a trading platform to Sim trade holding timeframes longer than intraday. You can use eSignal or CQG with delayed futures data for swing trade training. My guys don't pay any more than $100 per month for eSignal and it's adequate for clients paper trading and training with me using Go to Meeting.

 

[jj90]

@bone, what do you/your group see in the slower moving spreads/flys/condors? For example, take CLV7-X7 which has a much smaller range vs CLZ7-Z8. They both increase if spot crude go up and vice versa. I'm aware shape of the curve has an impact, but you are betting on logistics(curve) or spot in 1 way or another.

Any comments?

 

[bone]

@bone, what do you/your group see in the slower moving spreads/flys/condors? For example, take CLV7-X7 which has a much smaller range vs CLZ7-Z8. They both increase if spot crude go up and vice versa. I'm aware shape of the curve has an impact, but you are betting on logistics(curve) or spot in 1 way or another.

Any comments?

Our modeling of trade entry decisions are about curve convexity changes and those drivers always. In fact, we purposely stay well away from prompt months in an effort to mitigate spot delta directionality and the roll wildcard if at all possible - I hammer that home relentlessly.

 

[xandman]

Our modeling of trade entry decisions are about curve convexity changes and those drivers always. In fact, we purposely stay well away from prompt months in an effort to mitigate spot delta directionality and the roll wildcard if at all possible - I hammer that home relentlessly.

Do you think simple roll strategies on stable curves like gold are not accessible to retail? I am seeing about 5+ ticks avg. per month for GC in the prompt months, but that is without crossing the bid/ask. Stable as a rock. Easier said than done, I guess.

 

[sle]

Do you think simple roll strategies on stable curves like gold are not accessible to retail? I am seeing about 5+ ticks avg. per month for GC in the prompt months, but that is without crossing the bid/ask. Stable as a rock. Easier said than done, I guess.

How are you planning to hedge the spot volatility, if I may ask?

 

[xandman]

How are you planning to hedge the spot volatility, if I may ask?

I am free-balling.

This is just for Gold. I think that moderating duration is sufficient and the volatile moves to the downside may be done. Crazy?

 

[bone]

Do you think simple roll strategies on stable curves like gold are not accessible to retail?

Sure, if you have for example an IB account you could trade the roll no problem.

Having said that, IMO confining your intramarket spread trading activities to the roll has limitations including boredom. There's just such a larger less crowded spread trading universe of opportunity beyond the roll and at a comparable capitalization requirement. Also, from my experience prompt month rolls have Demand-side behavior characteristics that can be difficult to model as compared to the more supply-influenced Spread combinations further out in the curve. I endeavor to avoid nasty surprises.