Seasonal spreads
- Thread starter hrokling
- Start date
rcanfiel: I posted the results as of Nov 30th on Dec 3rd - which has the total results since startup. Did you mean some sort of statistics?
I added to the Mar 08 ZT/ZF spread at a difference of 100.000. This makes the position:
Long 2 Mar 08 ZT 2-Year Notes / Short 2 Mar 08 ZF 5-Year Notes @ 100.008
Today I entered the infamous, scary New crop / Old crop Wheat. This makes trading energies look like kindergarden, doesn't it. My position calculations shows I should have 4 contracts - but I'm starting with one and may add one more.
Bought 1 Jul 08 / Sold 1 May 08 ZW Wheat @ 160 1/2
Will be watching this one closely - if old crop makes another run for it this will be sub -200 in no time.
And at the end I'm just tagging on a comment on my sizable (relative) positions in energies.
Today the Gasoline spreads finally steamed ahead - after weeks of sluggish performance and getting awfully close to stoploss. In fact, the account has added about 13.000 usd in two days - they were very deep in the red. I guess the Nymex locals brough their red Santa hats today and decided to start Christmas early. Well, it suits me just fine
Merry Christmas everyone, and warm thoughts to the Nymex locals
I added to the Mar 08 ZT/ZF spread at a difference of 100.000. This makes the position:
Long 2 Mar 08 ZT 2-Year Notes / Short 2 Mar 08 ZF 5-Year Notes @ 100.008
Today I entered the infamous, scary New crop / Old crop Wheat. This makes trading energies look like kindergarden, doesn't it. My position calculations shows I should have 4 contracts - but I'm starting with one and may add one more.
Bought 1 Jul 08 / Sold 1 May 08 ZW Wheat @ 160 1/2
Will be watching this one closely - if old crop makes another run for it this will be sub -200 in no time.
And at the end I'm just tagging on a comment on my sizable (relative) positions in energies.
Today the Gasoline spreads finally steamed ahead - after weeks of sluggish performance and getting awfully close to stoploss. In fact, the account has added about 13.000 usd in two days - they were very deep in the red. I guess the Nymex locals brough their red Santa hats today and decided to start Christmas early. Well, it suits me just fine
Merry Christmas everyone, and warm thoughts to the Nymex locals
On Dec 24th I got two fills:
Sold 1 Mar 08, Bought 1 Sep 08 CL Crude Oil @ 3.00 - CLOSED - PROFIT 2.00 which is 2.000 usd.
This will probably continue to go on, but my PT was only 1.65 so I'm happy.
I closed out half my position in the Jan/May RBOB Gasoline at -0.1780 - since the Jan contract is expiring in a week it's long overdue to start looking at an exit. I was surprised at the pullback at the end of Friday - it was a very powerful move back again. I think it indicates that perhaps this spread won't be able to go much further since the contract soon expires. I'm still holding onto the last two contracts, but am watching carefully to exit it. I still have great hopes for the Feb/Jun Gasoline spread and will hold it into next week.
Sold 1 Mar 08, Bought 1 Sep 08 CL Crude Oil @ 3.00 - CLOSED - PROFIT 2.00 which is 2.000 usd.
This will probably continue to go on, but my PT was only 1.65 so I'm happy.
I closed out half my position in the Jan/May RBOB Gasoline at -0.1780 - since the Jan contract is expiring in a week it's long overdue to start looking at an exit. I was surprised at the pullback at the end of Friday - it was a very powerful move back again. I think it indicates that perhaps this spread won't be able to go much further since the contract soon expires. I'm still holding onto the last two contracts, but am watching carefully to exit it. I still have great hopes for the Feb/Jun Gasoline spread and will hold it into next week.
Sold the two remaining contracts of my Jan/May RBOB Gasoline @ -0.1650, which gives me an average exit of -0.1715 on all four contracts:
Sold 4 Jan 08 / Bought 4 May 08 RBOB Gasoline @ -0.1715 - CLOSED - PROFIT 0.0117 which is USD 1.966.
Both the RBOB Gasoline spreads were entered prematurely, and I could have made in the area of 500-800 usd per contract if the entry had been timed better.
This Jan/May spread is exited since it's so close to expiration - my target expiration was Monday 24th but I hung onto it as it was starting to rally.
The Feb/Jun is also moving well and I'm looking for -0.1150 for the last two contracts here.
The Gasoline/Heating Oil spreads pulled back around lunch, but staged a remarkable comeback late in the day. So far they are at around 50% of my PT.
Sold 4 Jan 08 / Bought 4 May 08 RBOB Gasoline @ -0.1715 - CLOSED - PROFIT 0.0117 which is USD 1.966.
Both the RBOB Gasoline spreads were entered prematurely, and I could have made in the area of 500-800 usd per contract if the entry had been timed better.
This Jan/May spread is exited since it's so close to expiration - my target expiration was Monday 24th but I hung onto it as it was starting to rally.
The Feb/Jun is also moving well and I'm looking for -0.1150 for the last two contracts here.
The Gasoline/Heating Oil spreads pulled back around lunch, but staged a remarkable comeback late in the day. So far they are at around 50% of my PT.
Today I exited the spread in interest rates, as it went to break even and even in the red. It's passed my stoploss, which has a time element as well, so this trade isn't working as it should.
Sold 2 Mar 08 ZT 2-Year Notes / Bought 2 Mar 08 ZF 5-Year Notes @ 100.015,625 - CLOSED - PROFIT 14 usd
Did you see the moves in the energies the last five minutes? Crude dropped, and Gasoline and Heating Oil crashed with it. My RB/HO spreads which were down on the day surged to end in the black. Crazy volatility.
The NG spread has pulled back. It's not volatile at all, and I guess my calculations are skewed from the Amaranth years. Oh well, better safe than sorry. And the spread is still profitable.
Wheat spread moved nicely today, with a limit-down in the front month. There's now a 30 point profit on two contracts - half the size my money management has told me to get, but then again it's completely unaware of the recent volatility in the commodity. I'm very happy with this move, and the spread has already passed my Profit Target which was "only" 20 cents. However, I'm going to let this ride a bit further - the profit target should also be wider with the volatility we've seen this year. When I see Old Crop basing I'll try to exit, but on the calendar I'm supposed to hold until end of February.
Sold 2 Mar 08 ZT 2-Year Notes / Bought 2 Mar 08 ZF 5-Year Notes @ 100.015,625 - CLOSED - PROFIT 14 usd
Did you see the moves in the energies the last five minutes? Crude dropped, and Gasoline and Heating Oil crashed with it. My RB/HO spreads which were down on the day surged to end in the black. Crazy volatility.
The NG spread has pulled back. It's not volatile at all, and I guess my calculations are skewed from the Amaranth years. Oh well, better safe than sorry. And the spread is still profitable.
Wheat spread moved nicely today, with a limit-down in the front month. There's now a 30 point profit on two contracts - half the size my money management has told me to get, but then again it's completely unaware of the recent volatility in the commodity. I'm very happy with this move, and the spread has already passed my Profit Target which was "only" 20 cents. However, I'm going to let this ride a bit further - the profit target should also be wider with the volatility we've seen this year. When I see Old Crop basing I'll try to exit, but on the calendar I'm supposed to hold until end of February.
What an incredible run the old crop/new crop wheat spread has been for me now for the second time from about -160 to -110. The brave ones could of course also have taken the reverse one when March Wheat long speculation reached feverish pitch.
Both my bean oil and hog spreads have been almost from the beginning nicely profitable, only the Feb/Aug Live Cattle spread is beyond the stop level already - what a disappointment since this one was profitable 15 times in the last 15 years. So far all my live cattle spreads have been losers whereas the hog spreads have been very profitable.
My RB/HO, both Feb and May and my RB Feb/Apr are solidly in the black, only NG Feb/Apr is slightly in the red.
All my metal spreads are presently in the red, some of them I entered prematurely and I might have to liquidate them.
Happy New Year and Happy Trading
Both my bean oil and hog spreads have been almost from the beginning nicely profitable, only the Feb/Aug Live Cattle spread is beyond the stop level already - what a disappointment since this one was profitable 15 times in the last 15 years. So far all my live cattle spreads have been losers whereas the hog spreads have been very profitable.
My RB/HO, both Feb and May and my RB Feb/Apr are solidly in the black, only NG Feb/Apr is slightly in the red.
All my metal spreads are presently in the red, some of them I entered prematurely and I might have to liquidate them.
Happy New Year and Happy Trading