SpreadProfessor Futures Spreads

Discussion in 'Announcements' started by bone, Jan 16, 2018.

  1. bone

    bone ET Sponsor

    There has been a trend towards my clients using an FCM’s 24 hour execution desk in lieu of leasing an execution platform. Most major Chicago FCM’s charge about $1 per R/T for the service, and they are used to handling Spec and Commercial Spread Orders.
     
    #11     Apr 7, 2018
  2. truetype

    truetype

    Any recommendations?
     
    #12     Apr 7, 2018
  3. bone

    bone ET Sponsor

    My clients have had really good luck with the major direct clearing FCM's in Chicago that have clientele with big active spread trading accounts (commercials and some big specs). Advantage, Rosenthal-Collins, RJO'Brien, and a few more come to mind. It's super important that the Risk Department knows how to properly set up your account for intra-day margin offset credits. I have no haircut arrangements with anyone whatsoever so it makes no difference to me.

    Clients have had many issues in the past with "discount" brokers. Their risk systems just aren't set up for spread margin offsets. I've seen clients get assigned outright flat price risk margin on each individual (hedged) leg ! I guess that's OK if 99% of your clients are scalping ES or 6E or CL futures intra day but it is incredibly bad for a proper spread trader.
     
    Last edited: Apr 13, 2018
    #13     Apr 13, 2018
    .sigma likes this.
  4. bone

    bone ET Sponsor

    Yes, I do provide the "source code" for the proprietary technical indicator package. I also send out a .efs file for eSignal but it's not a big deal to code the study into CQG for example. You have to be careful about charting platforms - from my experience most don't adequately support exchange futures spreads.
     
    #14     Apr 27, 2018
  5. bone

    bone ET Sponsor

    I would like to welcome another new client to the "Light" package.
     
    #15     May 4, 2018
  6. bone

    bone ET Sponsor

    I wanted to mention a couple things about intra commodity spreads (same product, different expiries). For example, a Jun19-Dec19-Jun20 CL Butterfly.

    One thing you should be very impressionable about is the art of experimenting with leg durations and location placement on the forward curve. It can make a dramatic difference in curve shape and finding dislocation opportunities.

    Some of my clients build and use automated spread symbol generators - my only concern there is equality of duration between leg expiries on intra commodity spreads.
     
    #16     May 14, 2018
  7. bone

    bone ET Sponsor

    I have two new webinars in the pipeline.

    A new client has had a fantastic start to his paper trading phase. We also talked about inter commodity hedge ratios.
     
    #17     May 25, 2018
  8. bone

    bone ET Sponsor

    Crude Oil, Natural Gas, STIRS have all been good mid term expiry inter-commodity plays this year.
     
    #18     May 31, 2018
  9. bone

    bone ET Sponsor

    I wanted to mention a technical financial engineering term called: "terminal payout space".

    This is important to me and my clients, because we would like to take advantage of structural dislocations that persist over time. That's why we use mid to longer dated expiries in quite a bit of our intra market modeling.

    If a trader, especially an arbitrage or relative value style trader, is looking for historically quick developing mean reversion opportunities - that is a very crowded space to be operating in.
     
    #19     Jun 8, 2018
  10. bone

    bone ET Sponsor

    Energy, softs, grains, metals, and some daring stock index allocation rotation plays seem to be currently in vogue.
     
    #20     Jun 27, 2018