SpreadProfessor Clients - Thanks !

greg25 said:
Hi bone,

Do you look also to seasonal in your strategies or just mean reversion and trends and money flow ?

Thanks

Greg
More...

My indicator package picks up on seasonal price action.

I have found that mean reversion as a primary trading strategy has not been successful over extended periods of time with the one notable exception being a highly correlated arbitrage (which is somewhat rare and perishable these days).
 
Bone, what are the most important markets you and your clients trade actually. I know you trade a lot of markets but which are the most important this year.

Also, I read on you page you did well trading the Gas Oil crack spread, are you still trading as strong as you did years ago ?

Thanks

Greg
 
Energy and Interest Rates are the spaces where I have commercial and institutional experience. Starting in the early 2000's I wanted to branch out more, and develop a trading model that would work on any spread combination. I'm glad that I have developed that ability, as energy and the rates have been rather bland but at the moment I have on several ag/softs trades. All markets are cyclical in nature (including seasonal influences) and I think it's a strength to have portfolio versatility - in my opinion forcing trades is something to avoid.
 
bone said:
You can trade the ICE OTC financially cleared US power products using TT. Been that way for quite a while now with TT and financial power, but you have to be specially configured for the ICE gateway and it takes some serious margin allowance (capital) for the ICE exchange and your clearing firm to permit it.

https://www.tradingtechnologies.com/support/advisories/2011/12/epn068-11/

https://www.tradingtechnologies.com/support/advisories/2014/09/ca049-14/

TT also provides some guidance for setting up the AutoSpreader or SpreadMatrix for the Heat Rate Spread:

https://www.tradingtechnologies.com/help/ice-gateway/trading-ice-heat-rate-spreads/
More...

Random bump, but what sort of capital would it take to trade ICE US power products using TT?
 
TheKDog said:
Random bump, but what sort of capital would it take to trade ICE US power products using TT?
More...

A lot. Like millions - and you'd have to find a clearing firm that will back you. Big ask. When I did those products I had a $12M line of credit and cleared through an Investment Bank ( and I was spreading against Nat Gas Swaps so I had some margin offset credit ). In 2008 the liquidity (market participation) took a big big hit and I'm not sure how much it has recovered. Also, the OTC brokers will always be able to find you liquidity that will not appear on the TT screen. I used both TT and a voice turret system with direct lines to several OTC brokerages.
 
bone said:
A lot. Like millions - and you'd have to find a clearing firm that will back you. Big ask. When I did those products I had a $12M line of credit and cleared through an Investment Bank ( and I was spreading against Nat Gas Swaps so I had some margin offset credit ). In 2008 the liquidity (market participation) took a big big hit and I'm not sure how much it has recovered. Also, the OTC brokers will always be able to find you liquidity that will not appear on the TT screen. I used both TT and a voice turret system with direct lines to several OTC brokerages.
More...

Thanks bone. Big number.

Is that the case even if just trading west hub bal-day?
 
TheKDog said:
Thanks bone. Big number.

Is that the case even if just trading west hub bal-day?
More...

I'm pretty confident in saying that bal-day or next day capital clearing requirements would be very rich as compared to futures (maybe you would be better served to call PJM ISO directly?). And you are competing against very well informed counterparties. I've seen bal day in August go from under $150 to $1,000 / MW-hr. when I was active in those markets. And ERCOT is even worse.

You are going to have to have the financial resources to make your counterparty whole same day. Any Risk Manager is going to ask for the world no doubt...
 
bone said:
I'm pretty confident in saying that bal-day or next day capital clearing requirements would be very rich as compared to futures (maybe you would be better served to call PJM ISO directly?). And you are competing against very well informed counterparties. I've seen bal day in August go from under $150 to $1,000 / MW-hr. when I was active in those markets. And ERCOT is even worse.

You are going to have to have the financial resources to make your counterparty whole same day. Any Risk Manager is going to ask for the world no doubt...
More...

Yes definitely, I understand. I have traded this and been profitable which is why I ask. I would feel more comfortable trading it than other futures at this point.

Would PJM have the capital requirements or someone like ICE? Would it be in the millions or is a few $100k enough?
 
TheKDog said:
Yes definitely, I understand. I have traded this and been profitable which is why I ask. I would feel more comfortable trading it than other futures at this point.

Would PJM have the capital requirements or someone like ICE? Would it be in the millions or is a few $100k enough?
More...

Again, ask PJM but my sense is that a few hundred thou won't suffice. I could be wrong.
 
You must log in or register to reply here.
Back
Top