Spread Trading

bone >bone (this is an alias)
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Gee that’s funny, we were just talking down on the Baywatch set and nobody heard of anyone named “bone!”
bayh_mainpage.jpg
 
Quote from pretzel:

nitro


Wow, this is something new. I dont think this is covered in the Joe Ross or Courtney Smith books.

Where can I get more info on this?

pretzel
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Pretzel,

AFAIK, there aren't really any good books that describes how a REAL trader might use these things - only institutions.

As bone mentioned in a previous post, the exchanges have a lot of information on their sites about it. Since I live about 15 minutes by car to the MERC/CBOT/CBOE, I am looking into expanding my horizons a bit by looking into taking classes at one of the exchanges - this stuff is so much easier learned by talking to a person than by reading a canned book.

If I run into anything useful that isn't proprietary, I will try to pass it along.

nitro
 
Whether or not I am actually hedged or not depends on my confidence in terms of flat-price directionality... but I am always trading off of correlations and spread levels in terms of relative strength and weakness.
 
Quote from Backwardation:

Nitro,

I'm available to talk about spreads in person. What do you want to know.

Backwardation
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Backwards,

That is a very generous offer - I think you might be qualified to give one of those talks on Elitetrader on this kind of trading!

What do I want know? Where do I start? You see, the extent of my experience with this type of trading is statistical arbitrage, i.e., Pairs trading.

I remember asking you if you would give an example of the trades you do. You mentioned that you trades are longer term and that you would let me know when you had establised a postion. One or two good examples of a trade being considered BEFORE HAND and then following along with you realtime IF the trade is establised is probably all I "need."

nitro
 
Hi,

I have been looking into spreads as a result (in part) of this thread and have found info. to be sparse. My feed can't do intraday charts and that is my current interest---could I ask a favor?

Could someone put together the June-Sept., 60 min. spread for the DJ ($10) and the SP($250)? You can either post it or PM me.

Anyone trade these? Are the tradable on the intraday basis?

Thank You--with Respect,

Allen
 
Quote from AllenW:

Hi,

I have been looking into spreads as a result (in part) of this thread and have found info. to be sparse. My feed can't do intraday charts and that is my current interest---could I ask a favor?

Could someone put together the June-Sept., 60 min. spread for the DJ ($10) and the SP($250)? You can either post it or PM me.

Anyone trade these? Are the tradable on the intraday basis?

Thank You--with Respect,

Allen
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I am not sure what you want, but if you are looking to spread the Dow Jones and the spoos, then go here:

http://www.futuresource.com/premium/ifs/charts.asp

On the Contract on the left, type in

DJIAY - ESM3

That will give you that spread.

nitro
 
I second nitro's suggestion for an ET chat on spreads featuring backwardation....I think that would be very helpful for all of us who are interested in learning more.

Nitro,

What are some good ways to learn stat arb? All the models I've looked at, I've found holes in. Is there a recommended resource?

Thanks,

mike d.
 
Hi,

I'm looking for 60 min. calendar( Jun-Sept) spreads for the individual contracts--Dow Jones and big S&P.

It seems there is a tradable range there but I'm not sure if it can be exploited off-floor.

Allen
 
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