Long Sep Wheat / short sep Corn
- Thread starter TraDaToR
- Start date
Quote from TraDaToR:
What happened in the SPAN ratios lately? I just wanted to check if I can still use my old ratios and here is what I see :http://www.cmegroup.com/clearing/margins/inters.html#e=CBT&a=AGRICULTURE&p=all
5 Soybeans Vs 1 soybean meal ???
10 corn Vs 1 Live Cattle for a margin credit of 0 %???
here is a question for u.
why is beans not moving much vs corn
dec corn 680
nov beans 1338
I don't know. I noticed soybeans , which is traditionally the wildest grain has lost volatility, and on the other side, corn, which almost trade like financials most of the time, is moving more this year, but there is something messed up in the SPAN credits.There is no way you have a balanced spread with 5 Corn Vs 1 Soybean meal.
Look at this : CME credits ratios: corn vs soybean : 2 vs 1
corn vs Soybean meal : 5 vs 1
soymeal vs soybean : 1 vs 5
There is a problem somewhere I guess...Perhaps it's just the website.
Tradator, I calculate my own hedge ratios, and agree that the SPAN calcs can get 'chippy' from time to time. Even if you use a moderately different hedge ratio, SPAN will still automatically calculate a margin credit for you so not to worry in terms of performance bond margin. My advice would be to monetize the last twenty days of trading ranges for each leg and use that - you are essentially accounting for volatility and tic sizing differentials in the same exercise.
EMG, FWIW, we have been killing the grain spreads. I have a client who hired me in February ( S&P Floor Trader) who is 7 for 7 this year in the grain spreads. We are pretty much out of July and are looking more at Sept - Nov, Sept - Dec, Sept - Mar12. The guy put his seat up for lease, set up a home office, and of all things bought the professional Bloomberg terminal. Says he wishes he had done it ten years ago.
EMG, FWIW, we have been killing the grain spreads. I have a client who hired me in February ( S&P Floor Trader) who is 7 for 7 this year in the grain spreads. We are pretty much out of July and are looking more at Sept - Nov, Sept - Dec, Sept - Mar12. The guy put his seat up for lease, set up a home office, and of all things bought the professional Bloomberg terminal. Says he wishes he had done it ten years ago.
Good to know SPAN is calculating credits even if you don't follow CME website. I simply use the former ( logical ) CME ratios I tested my strategies with.
I am new to seasonal spread trading but my first year has been encouraging. Despite the volatility that often go against seasonals, I made money steadily on meats, grains and metals. The only problem was with energy and especially gasoline. 2 out of 10 Spreads turned profitable or something like that...
I am new to seasonal spread trading but my first year has been encouraging. Despite the volatility that often go against seasonals, I made money steadily on meats, grains and metals. The only problem was with energy and especially gasoline. 2 out of 10 Spreads turned profitable or something like that...
I am not passing judgement per se on MRCI - in fact, I believe them to be a very legitimate firm. The only point I am making is that a properly designed trend following price model will pick up the fundamental or seasonal aspect if indeed it affects the price of said commodity. The fundamentals and seasonality are incorporated into the last price print. So are the carry costs and the futures/physical basis differentials. So is the latest met weather data forecast. Promise.
These corn spreads are looking good finally.
http://www.nytimes.com/2011/07/01/business/01crops.html?_r=1
http://www.nytimes.com/2011/07/01/business/01crops.html?_r=1