questions about grains trading

C

CALLumbus

Hello,

at the moment I am trading mostly energy futures (CL and NG) and currency futures (EUR, GBP, JPY). I would like to add grains to my repertoire and want to ask you more experienced grain traders some basic stuff:

- How good is the liquidity in ZC, ZS and ZW ? How many contracts can you scalp in these instruments for a few ticks without moving the market/ getting slippage ? Can you move 10-20 contracts without problems ?

- In the energy futures we have inventory reports each wednesday (CL) and thursday (NG). I dont trade +/- 5 mins around these dates because the market gets crazy, it is like playing a lottery, with horrible slippage. I know in the grains there are also reports of highest relevance for the markets, the crop reports. Are these reports released at fixed dates, so I can prepare myself and avoid trading at that time ? Are there other important reports which can have serious impact on the price of the grain futures ? Do you have a good website where I can find all these relevant dates in advance ? For the energy and currency futures I look here: http://www.oilngold.com/resources/economic-calendar and here: http://online.barrons.com/public/page/barrons_econoday.html, would be cool if there is something similar for the grain traders.

- When the market goes limit up or down, is this a consequence of the crop reports most of the time ? So if I know in advance a report is coming, I could avoid trading at this time and therefore avoid a limit lock ...

- When I am in a position and the market moves limit against me, is it possible to hedge the position with options ? I read somewhere that the options are still trading, even when the futures contract is locked.


Thank you all in advance for your help.

Greetings,
CALLumbus
 
CALLumbus,

I'll try to answer a couple of your questions to the best of my ability.

admis.com (Archer Daniels Midland) has a page called "knowledge center". Click that page, and then click "report calender". That calender provides all pertinent reports as it pertains to the agricultural markets.

Corn, Beans, and Wheat are all very liquid. Corn is the most liquid of the three but typical has the least drastic intraday moves of the three, and thus the lower margin requirements.

I trade two to three contracts at a time so I cannot answer your question regarding slippage when moving more contracts than that. I usually will lose .25 or .50 if entering a 3 lot order on beans.

Limit days usually do occur after significant reports are released, but other newsworthy items out of China such as import numbers can lead to limit days if the price is drastic enough. Weather affects prices too. In the corn market, moves in crude oil affect the market due to the amounts of corn being used for ethanol.

Hope this helps.
 
http://www.nass.usda.gov/Publications/Reports_By_Date/index.asp

I don't trade size in the grains but I have seen size trading without movement. Only thing I hate about grains is that reports come out at 8:30am EST when market is closed and therefore huge gaps occur at 10:30am EST when they open back up. Also grains don't operate on a FIFO basis in the order depth, it operates on a somewhat bigger size comes first basis. Not sure what exact rules are for that though.
 
Hi smcmahon83 and grg03002,

thanks for these info, good stuff. I just played around a bit in my trading platform, checking T+S for the grains contracts. Wow, it really seems you can move some serious size in ZC, seems like this is the ES of grains, lol.

Have a good start into the trading week.

CALLumbus
 
Quote from CALLumbus:
----the market moves limit against me, is it possible to hedge the position with options?
----options are still trading, even when the futures contract is locked.
More...
1) Yes. The options still have the same price limit as the futures.
2) Ignoring vega, because of the delta of the option, it will move slower than the futures.
3) If corn futures are locked-limit, 30-cents higher, the at-the-money call-option may be trading ~18 to 24-cents higher with the potential to trade 30-cents higher if there is panic buying into that strike price. The farther-out-of the-money calls can experience the same thing as successive strike prices keep locking-up.
4) The options can also be used to gauge how much higher the futures are "trading" above the limit and how much higher the market can open at the start of the next session.
5) You could consider trading the spot-month future, during delivery, as an alternative "hedge" because it trades with no limit. :cool:
 
Quote from CALLumbus:

Hi smcmahon83 and grg03002,

thanks for these info, good stuff. I just played around a bit in my trading platform, checking T+S for the grains contracts. Wow, it really seems you can move some serious size in ZC, seems like this is the ES of grains, lol.

Have a good start into the trading week.

CALLumbus
More...
Grains actually have been trading in bigger range than ES
 
I had some of my traders get long the Soybean July-Nov at the open this morning, and they also got long the ICE #11 Sugar July-Oct at the open on Monday.

We do really well them - they trend like crazy and fit our models very well. We swing trade them for a few days up to several weeks at a time depending upon the model set-ups. The signals are not frequent for us - on average maybe two or three a month in the entire softs complex but they always seem to have great follow-through and performance. The other nice feature is that the exchange-supported spreads accomodate an electronic stop limit order which is great for resting stop-loss and profit targets.

We also do synthetic spreads like the Live Cattle Crush. One of my clients with access to the OTC markets (ClearPort Swaps) does the Corn-Ethanol Crush.
 
i wish someone would start a journal about grains trading...i know that begs the question, "why don't i?", but the fact is that although i'm successfully trading grains, i've only been doing it for a few months and don't really want to start a journal but would be happy to chime in on somebody else's....
 
Quote from bone:

I had some of my traders get long the Soybean July-Nov at the open this morning, and they also got long the ICE #11 Sugar July-Oct at the open on Monday.

We do really well them - they trend like crazy and fit our models very well. We swing trade them for a few days up to several weeks at a time depending upon the model set-ups. The signals are not frequent for us - on average maybe two or three a month in the entire softs complex but they always seem to have great follow-through and performance. The other nice feature is that the exchange-supported spreads accomodate an electronic stop limit order which is great for resting stop-loss and profit targets.

We also do synthetic spreads like the Live Cattle Crush. One of my clients with access to the OTC markets (ClearPort Swaps) does the Corn-Ethanol Crush.
More...

One of my favorite non-intraday strategies is cattle crush...always found it a lot easier to feed cattle on paper than in the feedyard...no death loss or high vaccination/antibiotic cost in Chicago :D
 
Quote from traderTX:

One of my favorite non-intraday strategies is cattle crush...always found it a lot easier to feed cattle on paper than in the feedyard...no death loss or high vaccination/antibiotic cost in Chicago :D
More...

The biggest thing is getting the guys to wait on the Cattle fill BEFORE getting the Corn fill. Leg risk.
 
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