Just the end of the year killing time research: Even with low margin, is there a real definable roll yield, as there is with the VIX, when say spreading March and June e-minis? I'm kind of lost on what to watch for in terms or trading this as a spread, if anyone does. What are the factors? Any good resources?
What's the logic of spreading ES futures?
- Thread starter SoCalOptionsWriter
- Start date
The link on the bio was good, but was really looking for intra-market and ES only.
So, if say long March and short June, I am just capturing the risk free interest rate-income yield, wouldn't that be a juicy return for three months, given SPAN margin, of course.
no, March and June contracts are the same price. You go long or short swing trades to capture the volatility of the price movements to take profit, not sit on it.
CannonTrading_Ilan
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Most of the time I have seen some larger clients trade spreads was during the rollover period, trading large sizes trying to take advantage of 0.25/0.50 moves as well as playing the actual spread until expiration as a biased trade.
Ok, I must bemissing something because on my IB screen right now the March 23 futures are 3874 and change and the June 23 futures are 3907 and change, a spread of 31-33. Are you saying the spread doesnt change even up to a day before the front month expires?
Correct. Once it is rolled, the spread is very tight, maybe 1-2 full point.
The first chart, about 33 points for each 3 months, 33-66-100-133 etc.
Look at Dec 22 to Dec 28 on the second chart, you are not going to make money manually, no trade volume beyond 3 month.
https://www.barchart.com/futures/quotes/ES*0/futures-spreads
https://www.barchart.com/futures/quotes/_S_EQ_ESH3_ESM3/interactive-chart