SpreadProfessor Futures Spreads

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

  1. bone

    bone ET Sponsor

    WTI Backwardation continues unabated. Today's settlements:

    Aug18: -0.16
    Sept18: -0.84
    Oct18: -1.78
    Nov18: -1.77
    Dec18: -1.86
     
    #21     Jul 2, 2018
  2. bone

    bone ET Sponsor

    As of 11:25am Central US:

    Aug18: -0.02
    Sep18: -0.21
    Oct18: -0.46
    Nov18: -0.56
    Dec18: -0.48
     
    #22     Jul 3, 2018
  3. bone

    bone ET Sponsor

    Great example of how retail traders can do very well for themselves in the intercommodity spreads just going along with the big commercials.
     
    #23     Jul 3, 2018
  4. bone

    bone ET Sponsor

    Don't scalp the Nymex Crack Spread. Just don't. Even taking one or two well considered swing trades intraday would give you a better risk/reward skew than trying to scalp the damn thing.
     
    #24     Jul 19, 2018
  5. traider

    traider

    Can we trade it on breakout
     
    #25     Jul 19, 2018
  6. bone

    bone ET Sponsor

    Don't fade the breakout. Model it and know your levels.
     
    #26     Jul 19, 2018
  7. Can you explain or give model example on calendar,condor,bbutterfly or double butterfly. Please
     
    #27     Jul 19, 2018
  8. bone

    bone ET Sponsor

    Sure.

    I will make this a basic introductory example. For illustration use only. There's obviously more to trading spreads than what I will mention in this post, so please don't go mental on me guys.

    So below is an ICE Exchange GasOil Butterfly Spread. Note that it includes a Dec 18 contract, two June 19 contracts, and a Dec 19 contract. In the example provided below, let's say that I wanted to sell that spread. You could sell the spread as a single order entry on certain futures trading platforms like TT or CQG or CTS, or your FCM 24 hour execution desk could do it for you if you are using a major FCM. If you sold (one) spread, in your statement or fill window you would see that you were short one Dec 18 GasOil, long two June 19 GasOil, and short one Dec 19 GasOil. The margin for that position will be nominal - certainly less than a thousand dollars, because the exchange will offset much of the risk in their SPAN model (you are short two futures and long two futures net).

    Let's say the spread moves lower in your favor - in other words, Dec 18 and Dec 19 GasOil depreciates at a greater rate than June 19 GasOil. To cover your position and book your profit at a later date, you would buy one Dec 18 GasOil, sell two June 19 GasOil, and buy one Dec 19 GasOil - which nets you out. You would want to cover your position before the December 18 contract first notice day.

    If your position moves against you, the daily mark-to-market differential will be subtracted from your gross account capital and will be reflected in your daily FCM statement.

    We are trading pairs, butterflies, and condors. We trade intermarket highly correlated spreads like 2 Year Treasury Notes versus 5 Year Treasury Notes where your FCM will allocate a SPAN margin offset, or an intermarket spread like the GasOil Butterfly spread example I used earlier. We trade energy, grains, softs, Treasuries, metals, just about any market that is electronic and regulated.

    [​IMG]

    Here is the ICE Exchange GasOil Futures Page Link:

    https://www.theice.com/products/34361119/Low-Sulphur-Gasoil-Futures

    Here is today's trading data:

    https://www.theice.com/products/34361119/Low-Sulphur-Gasoil-Futures/data?marketId=5046434

    Note that today In the ICE GasOil futures Dec 18 traded 28,412 contracts, June 18 traded 8,405 contracts, and Dec 19 traded 4,043 contracts.
     
    Last edited: Jul 19, 2018
    #28     Jul 19, 2018
    avigdor74 likes this.
  9. Thanks
     
    #29     Jul 19, 2018
  10. bone

    bone ET Sponsor

    If I pre-approve a serious potential client, I have a past client currently trading on an Investment Bank FX and IRS Swaps Desk who would be happy to independently answer questions about my training program.
     
    #30     Jul 20, 2018