Spreads in the Softs

[stoic]

OJ Jan. 2013 vs. May 2013

 

[bone]

I am curious why you have a tendency to look at spread combinations where the front month is fairly deep into the roll ?

You posted this on Jan 18, and according to ICE, the last trading day is specified as Jan 10.

Just an observation. I've noticed this tendency on some of your other posts as well. From my experience, there is so much more to calendar spreads than the front month roll.

 

[drm7]

I imagine that back month liquidity would be challenging, but I haven't looked at the data, either.

 

[oldtime]

now we are finally getting somewhere

calendars

time decay

carry

very simple

easy to remember

 

[stoic]

Quote from bone:

I am curious why you have a tendency to look at spread combinations where the front month is fairly deep into the roll ?

You posted this on Jan 18, and according to ICE, the last trading day is specified as Jan 10.

duh........

Yes.... I posted the on Jan. 18th, the last trading day was Jan. 10th...... so the spread ended on the 10th at the latest.

Has nothing to do with the roll. Now that the 2013 spread is ended, I start traking at the 2014.........duh....

 

[bone]

Quote from drm7:

I imagine that back month liquidity would be challenging, but I haven't looked at the data, either.

Well, FCOJ-A had 1,130 total volume and March is the front month, so in OJ you would be correct. But for so many other commodities, even in the softs, there is plenty of liquidity further out in the curve. And I personally prefer that playground myself because the spec volume is pretty well concentrated in the front month and I would rather trade with the commercials.

 

[bone]

Quote from stoic:

duh........

Yes.... I posted the on Jan. 18th, the last trading day was Jan. 10th...... so the spread ended on the 10th at the latest.

Has nothing to do with the roll. Now that the 2013 spread is ended, I start traking at the 2014.........duh....

What are you "traking" ? We all know that the Dukes cornered the market and that FCOJ is a pure weather play and that Brazilian production is a big driver worldwide and that Jan is a winter month and that May is a spring month.

 

[stoic]

Quote from bone:

What are you "traking" ? We all know that the Dukes cornered the market and that FCOJ is a pure weather play and that Brazilian production is a big driver worldwide and that Jan is a winter month and that May is a spring month.

Is this a typical response from the "spread professor"