Seasonal spreads

I also took the ZM Aug 07/Mar 08 spread on May 23 and I am still hanging in there on the assumption that it can not get much worse - hope I am right.

Glad I took profit a couple of days ago on RB Aug 07/HO Aug 07 when it went above $3,000 - today, the supposed exit day, it is down to $214!

Have you looked at the chart pattern of NG Aug 07/Oct 07. To me it looks so good so I entered it yesterday.
 
Quote from kahai:
Glad I took profit a couple of days ago on RB Aug 07/HO Aug 07 when it went above $3,000 - today, the supposed exit day, it is down to $214!

Have you looked at the chart pattern of NG Aug 07/Oct 07. To me it looks so good so I entered it yesterday.
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Glad you got out in time of the RB/HO spread - good call!

Looking at the current NG Aug/Oct I see a downtrend that may be flattening - I haven't looked at the seasonal trend though. Good luck with that one!
 
I've had a Crude Oil spread (Dec/Jun08) lined up - with entry planned for the beginning of this week. I've been watching it a few weeks in advance, and I have actually decided to skip the whole trade as the spread has moved 1.5 points since the move began about 3 weeks ago. The historical average profit per winning trade is only 1.2 points, so I feel that most of the move is likely to have passed already.

There's been quite some movement in the Crude Oil spreads as it's been moving from contango to backwardation, and that may have helped this spread to an early start? What do I know...
 
Today I've exited the spread in Soybean Meal/Oil which I entered on April 25th.

Bought 2 Aug ZL Soybean Oil, Sold 2 Aug ZM Soybean Meal @ 2.157 - CLOSED - PROFIT 1.661 which is 3.322 usd.

This spread was to be exited on Friday, and I didn't notice. The difference would have meant at least another 1.000 usd in profits. Total days in trade was 82, Return on Margin was 144%.
 
I've closed two more spreads today as well:

Bought 1 Sep 07, 1 Dec 07 NG Natural Gas @ 1.735 - CLOSED - PROFIT 0.022 which is 220 usd.

Bought 1 Aug 07, Sold 1 Dec 07 ZL Soybean Oil @ 1.03 - CLOSED - PROFIT 0.12 which is 72 usd.

The trade in NG was entered June 20th, and total days in trade was 26. Intended to be closed later this week, but timestop/stoploss kicked in. Return on margin is 22%.

The Soybean Oil trade was entered on May 3rd, and was falsely listed as 2 contracts when in fact I entered only 1. Total days in trade was 74, intended to be closed next week but since it hasn't moved much my (still experimental) combination of stop loss/timestop has given an exit-signal. Return on Margin is 72%, but margin is only 100 usd for a calendar like this.
 
hrokling,
just curious, have you found a way within TWS to enter inter-market spreads as a one order calendar spread, or do you leg into them.
enjoying the thread btw.
 
bigbiscuit: No, it's not possible to do this with TWS. I wish IB would do something with this, as it really would be helpful. As far as I know none of the front-ends that support IB has this feature as well.

I know it can be done with X-Trader Pro from TT and also with Eccospreader and CQG. But... we're talking serious per-month-cost aimed at the high-volume futures spreaders and the cost-benefit is just plain wrong for trading seasonal spreads.

So, until someone comes along with a 50 usd per month front-end with customizable spreads that do active quoting in the legs I guess we'll have to leg in manually.

And - if anyone knows anything else about this I'd be very interested in learning more.
 
I've been on the road since Tuesday, and I've left in a few GTC limit orders while I've been unable to access my computer. Here's what's happened:

Sold 2 May 08, Bought 2 Dec 07 ZC Corn @ 25 - CLOSED - PROFIT 10 which is 1.000 usd.

Sold 1 Dec 07, Bought 1 Sep 07 ZC Corn @ 14 1/4 - CLOSED - PROFIT 13 1/4 which is 663 usd.

The May08/Dec07 Corn exceeded my profittarget. It was entered on June 21st, and was on for 26 days. The return on margin was 111%. I had an exit pegged for late September so I'm curious as to if the trend will continue.

The Dec/Sep Corn spread also exceeded my profittarget. It was entered on May 8th, and was 70 days in the trade. Return on margin was 147%. It was due to be closed in two weeks time.
 
I also got filled in two new RB spreads I was bidding for:

Bought 1 Oct 07, Sold 1 Feb 08 RB Unleaded Gasoline @ 0.0000

Bought 1 Nov 07, Sold 1 Feb 08 RB Unleaded Gasoline @ -0.0250

I had another bid further down in both these spreads, as I'm looking for a total position of two.
 
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