Seasonal spreads

Quote from hrokling:

Hm, this doesn't quite add up? Because the chart looks quite correct as a Long March/Short Jan - the opposite should be trading in positive territory. If I'm not totally mistaken - perhaps 4 odd hours of sleep last night is taking it's toll :)
More...

Oops. Bummer, you were right. I looked at my spread chart again and that indeed was a Long March/Short Jan. Trading at -0.026 now! Congratulations!
 
Hello Mike

Thanks for the reply, this is getting really interesting. At first I had some doubts about the chart I posted as well but before we go into that, the chart I posted was NOT an end-of-day chart - it is a delayed intraday chart.

Please see the 3 files I am attaching to this post which shows:

1) The quotes for the spread during the day for the 19th of October. 2 points to note here, and they are (i) The time is in GMT +8 and (ii) I am not sure if all quotes are reflected in the table because I am not subscribed to live NYME data, which means I may be missing out on some intraday data.

000001vu6.gif



2) The intraday graph, see how it traded on the 19th, even went up to positive territory to +0.019.

000002df7.gif



3) The end of day graph, note that the spread closed on -0.145 on the 19th, which is what you also see on MFGlobal.

000003lz8.gif



I just wanted to point out that I really don't know if the data I see is correct or not, and am hoping that someone with more experience can point out if they see a gross mistake. Another point I wanted to make is how volatile some of these spreads can be when you take a closer look.

Good trading all.
LG
 
Attached is an excel file that I have created to check the per-minute data of the spread from 19Oct 9am to 20Oct 8.30pm to make sure that my eyes are not playing tricks on me.

I have put a password to it for copyright purposes to so please drop me an email if you would like the password.

lifegauge{at)gmail.com

Good trading all.
LG
 

Attachments

I just thought I'd write a brief note - no trades or anything. Just a few comments on what's on, and what's to come.

Dec / Jul 08 ZM:
My moving stoploss has been hit, but I've decided to stay with it for now and instead close it if it drops under -8. Partly because my bad avg entry skews the stoploss somewhat.

Sep 08 / Mar 08 CL:
SL hit. Looking to get out around even sometime this week. If Turkey stays out of Iraq it should work out. This is a shame, because at the most it was at least 0.75 in the black.

May 08 / Dec HO:
My second contract in this spread will be closed at -0.0900 (even). Almost there today.

Mar 08 / Jan 08 NG:
This spread is moving to the right side. Unfortunately I've only got one contract on. I'm moving my bid up 0.010 every day to try and catch a dip. If I'm not filled tomorrow I'll buy at market.

New spread: Jul 08 / Mar 08 ZW Wheat
I'm currently eyeing this spread, even though I still have about 2 weeks before my planned entry. If wheat gets another run, this spread will suffer a bloody loss. And since the bullrun in wheat has been part speculation, part drought and part weakness in the dollar - I'm contemplating whether it should be dropped for fundamental reasons. Two out of three reasons should be different for the next crop; who dares predict usd over the next months. I'll probably get one contract on, which is half the position size.

That's it for now - happy trading!
 
Today I (finally) got my fill for the final contract in the Heating Oil spread, this time at -0.0900. Together with the first exit at -0.0600 this makes the avg exit -0.0750.

Sold 2 May 08, Bought 2 Dec 07 HO Heating Oil @ -0.0750 - CLOSED - PROFIT usd 1.260

I'm not too happy with the exploitation of the seasonal swings in Heating Oil over the last two months - I got all the timing wrong and missed a lot of profits. Moving on...
 
I apologise for the delayed fill report, but I was busy receiving my beautiful baby daughter at the hospital! Drinks are on me!

Whilst this was happening I got another contract filled in the Natural Gas spread, this one at -0.150. So the full position is:

Long 2 Mar 08, Short 2 Jan 08 NG Natural Gas @ -0.165
 
Amazing that you still can keep up with the posting among all that excitement.

All the best to you and your growing family
 
I put on a contract in this spread today:

Bought 1 Jul 08, Sold 1 Mar 08 ZW Wheat @ -152

I might add another contract if there's a pullback of some sort. I'm planning to hold well into February. I've been watching this since it was sub -200.

Other than that my crude oil spread is punishing me rather well, but I'm not sweating too much about it.
 
You must log in or register to reply here.
Back
Top