MNQU19 Vs. MNQZ19

ElectricSavant

ElectricSavant

Friday 08/30/19 Close prices

MNQU2019 Close : 7676.00
MNQZ2019 Close : 7716.50


Does this mean I could go long NMQU2019 as I could anticipate the close price to get closer to the MNQZ2019 contract as the volume switches?

ES
 
Wow. The difference is arbitraged against dividend, financing rates and capital efficiency. This is a time spread (also known as a calendar or a diagonal spread). There will be no edge in a trade like this for you.

The reason spreads are wider in the differed month contracts is because nobody wants to give away riskless profit. You would have to go long and short and even then there would be no money in it. You don't have a competitive capital structure nor execution advantage.

This is called the forward curve in equities. It is a very serious arena. Pure arbitrage.
 
They are separate contracts, each with different expiry, hence there is some Theta per-se, and carry costs factored into the price of the "future".

Your (anticipation)thesis may not be a proper use, but there is nothing stopping you other than perhaps lack of liquidity.
 
Isn't going long and short at the same time against exchange rules?...or is it different contract months that exempt it from the rule?

Real Money said:
Wow. The difference is arbitraged against dividend, financing rates and capital efficiency. This is a time spread (also known as a calendar or a diagonal spread). There will be no edge in a trade like this for you.

The reason spreads are wider in the differed month contracts is because nobody wants to give away riskless profit. You would have to go long and short and even then there would be no money in it. You don't have a competitive capital structure nor execution advantage.

This is called the forward curve in equities. It is a very serious arena. Pure arbitrage.
More...
 
No. MNQZ is also called the Christmas contract by traders. It's not the same as the September contract. There is no exchange rule against holding opposing positions in the two. This is very common in other products, e.g. softs, metals, rates.
 
Friday 08/30/19 Close prices

MNQU2019 Close : 7676.00
MNQZ2019 Close : 7716.50


Does this mean I could go long NMQU2019 as I could anticipate the close price to get closer to the MNQZ2019 contract as the volume switches?

ES
--------------------

I am surprised that someone with over 16,000 posts here would even have this question. I could understand if it was options, but futures are easier to understand relative to options.

Dude, you can long wherever you want, wherever you want. You're talking about contango and backwardation in the simplest terms.

If you did not have me on ignore, you'd see in my journal that it has been part and parcel of my strategy for pretty much the whole run? *shrugs*
 
I don't know much about futures trading strategies, but if it worked, everyone would be doing it.
 
Sometimes it is something right under your nose.

But after looking closer... these are the closes :

MNQU2019 Close : 7622.75
MNQZ2019 Close : 7642.25


SPX Blaster said:
I don't know much about futures trading strategies, but if it worked, everyone would be doing it.
More...
 
ElectricSavant said:
Isn't going long and short at the same time against exchange rules?...or is it different contract months that exempt it from the rule?
More...
The two futures contracts are two different financial instruments. So you are not going long and short in the same instrument.
 
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