How do you approach trading spreads like this?

A

Adam777

Below is a CL condor spread with an 8 tick daily range. I was wondering how people trade these? I've been reading some old papers on mean reversion, but realistically what's the best way to approach something like this?
 

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Trying to catch the spikes countertrend is the name of the game, but most likely you won't be filled at the top. You would lose a tick or so, which is pretty much all the profit potential when it comes to condors...Still possible with member fees though IMO...
 
I don't remember if the actual condor native spread is active on CL. You need to check native quotes to know the profit potential.
 
TraDaToR said:
Trying to catch the spikes countertrend is the name of the game, but most likely you won't be filled at the top. You would lose a tick or so, which is pretty much all the profit potential when it comes to condors...Still possible with member fees though IMO...
More...

...so setting both limit orders based on both sides of the range for entry and exit? ... and if you miss it then just wait for the next spike?
 
Yes. So if it is not native, they just extrapolate the spreads based on the last prints of a given bar which may not be simultaneous( last print of H7 was 2 min earlier than J7...). so I bet the extreme spikes were never traded at. And by the way, if they are not native, you can't place a limit order, you have to leg in with limit on one expiry and hedge at market when filled, so you lose half a tick on average...
 
We trade CL Condors all the time - but we are holding them for weeks typically not minutes.

Daytrading Flys and Condors makes little to no sense. But it's a great swing trade. The margin on a CL Condor would be just a fraction of the flat price initial margin - no reason at all to get flat at the end of the day unless your goal is to enrich the CME and your broker.
 
Natty, Eurodollars, and Sugar Flys have been doing really really well for the boys. Guys are having a lights out 2017 to date.
 
bone said:
We trade CL Condors all the time - but we are holding them for weeks typically not minutes.

Daytrading Flys and Condors makes little to no sense. But it's a great swing trade. The margin on a CL Condor would be just a fraction of the flat price initial margin - no reason at all to get flat at the end of the day unless your goal is to enrich the CME and your broker.
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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.
 
bone said:
Natty, Eurodollars, and Sugar Flys have been doing really really well for the boys. Guys are having a lights out 2017 to date.
More...
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?
 
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