Seasonal spreads

H

hrokling

This journal will chronicle my seasonality spread trades as I've worked through MRCIs Encyclopedia of Commodity and Financial Spreads and selected the ones I think have most merit - 63 spreads in total throughout the calendar year. It's a good mixture of grains, softs, the soybean complex, interest rates and energy futures.

My IB account for trading futures is relatively small and this is just a side project really, I mainly trade equities. This makes position sizing a bit difficult, and right now I'm only dedicating around 1500 usd to each trade - we'll see if position sizing becomes easier when the account (hopefully) grows.

Today I've made two trades:

Long 2 Jul Soybean Meal, Short 2 Dec Soybean Meal @ 9.80

Long 1 May Oats, Short 1 Jul Oats @ 5 3/4

I'm planning to add another contract to the Oats trade either tomorrow or Wednesday.
 
The Oats seasonality seems to be mostly a closing-positions-before-expiration artifact. In any case, it'll be interesting to see how it goes this year as commercials are incredibly short. They're not going to be in a hurry to buy up contracts the hedge funds are dumping.

As for the soy meal, I'm also dubious from a fundamental perspective. Soy oil is so expensive, crushers are happily producing meal that no one is buying.

Still, I've talked myself out of good trades in the past, so I'm rooting for you. :-)
 
Looking forward to this journal. We may be on opposite sides of the new crop/old crop spread. I'm long some July's in Corn and Beans but I can envision rolling into SX and CZ with shorts up front if I see price action or weather warranting the move.

Great Luck and thanks for the ideas!
 
The funny thing is I'm coming into this knowing absolutely NOTHING of the planting/harvesting cycles etc, the current fundamentals this year vs previous years, current news and trader talk - so this will definitely be a 100% seasonal journey based upon statistics and gut feel selection (which I've already carried out - all my trades are planned for the next 12 months).

Currently trying to sell more Oats at 5 1/2 but looks like I won't get filled today. I'm planning to try to add one more during this week, but am not in a hurry.
 
Good luck with your spreads and journal. There is a dearth of spread trading chat online, so its always good to see something new start.

One of the things that has held me back on commodity spreads is the myriad execution issues with the various products and exchanges. I'm a computer nerd, so Globex fits me to a T. Anything less, I'm just not comfortable.

I've always wondered how a "straight MRCI" portfolio would work out, so it'll be interesting to follow your progress.

Quote from hrokling:

Currently trying to sell more Oats at 5 1/2 but looks like I won't get filled today.
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This should be a fun journal. I agree, there just aren't enough people following spreads on the different chat locations (or at least not enough willing to talk about it).

Regarding the last comment about MRCI's portfolio. They have an equity chart of the "hypothetical" performance from last year (check one of the side links, it's buried there somewhere). It did HORRIBLE with the straight contracts (no spreads). But, the spread positions did very well. Here's hoping to another good spread trading year :-)

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Today I got an email from IB warning me that I had to close my trade in Oats. They're not allowing positions when contracts are approaching physical delivery. This actually removes 12 of my 57 seasonal trades from my plans - mainly affecting Oats and some Nymex-trades. (I also have 6 calendar spreads in CL which will be part of this journal, so it's all my futures trades).

I'm not going to look for another broker to use, it's too much of a hassle. A shame really since I'd really like to include these trades close into delivery. The Oats trade was meant to be closed on May 11th, but I closed at open and am now looking at at least another point that "got away" - oh well.

Today I've made two trades:

Sold 1 May Oats, Covered 1 Jul Oats @ 5 - CLOSED - PROFIT 3/4

Long 2 Aug Soybeal Meal @ 201.55, Short 2 Aug Soybean Oil @ 32.765

I wasn't able to create the Meal/Oil spread in IBs TWS, and couldn't chart it either so I just entered it blindly around the open. In retrospect it was a terrible entry. We'll see how this pans out.
 
Just for the record the 2 Aug ZM/Aug ZL spread entered into yesterday was at a price of $496.

I'll also include in the journal when the close-to-physical delivery spreads would be opened and closed, and make a special tally of what the net p/l would have been on those.

Next trade is coming up on May 1st.
 
Entered into a Soybean Oil calendar spread today:

Long 2 Dec Soybean Oil, Short 2 Aug Soybean Oil @ 0.91

Notice that I'm now short 4 Aug ZL, so here's to hoping nothing peculiar happens to that contract.
 
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