SpreadProfessor Futures Spreads

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

  1. bone

    bone ET Sponsor

    The "boring" but typically relentless Eurodollar Yield Curve. Who here on ET bothers with the Eurodollar? Not sexy enough... certainly not for day traders.

    But it did 2,471,214 in Volume today, with 13,693,141 Open Interest.

    Below is a Eurodollar Condor Futures Spread with an incredibly cheap margin requirement to carry the spread overnight.

    https://www.cmegroup.com/trading/in...ctor=INTEREST+RATES&exchange=CME&pageNumber=2


    [​IMG]
     
    Last edited: Sep 21, 2018
    #41     Sep 21, 2018
  2. Overnight

    Overnight

    What does volume matter? How does one make money on volume? One can make money only on the movement on price, yes? Is it possible to just make bets on the volume of an instrument? I do not understand "volume" traders.
     
    #42     Sep 21, 2018
  3. bone

    bone ET Sponsor

    You missed my point. Completely. Eurodollars are a very deep, liquid market that unfortunately gets ignored by most beginners and retail-oriented traders. Rarely if ever gets mentioned here on ET. It gets big volume every day. Very, very inexpensive to margin and even a modest futures account can swing trade these spreads overnight. Literally tens of thousands of possible spread combinations available.
     
    Last edited: Sep 21, 2018
    #43     Sep 21, 2018
  4. jj1111

    jj1111

    The spread declined from 20 ticks to 0 over 14 months, so around $500 for a 1 lot spread, does my math check?

     
    #44     Sep 24, 2018
  5. jj1111

    jj1111

    And this is the margin for the next quarterly condor in play?

    upload_2018-9-24_9-11-11.png


     
    #45     Sep 24, 2018
  6. That's not a condor. It's long two spreads.
     
    #46     Sep 30, 2018
  7. bone

    bone ET Sponsor

    CME has a very sophisticated matching algorithm for literally thousands of complex, multi-legged spread combinations.

    This is a great feature because it eliminates trader legging risk. You also don't need to buy or lease expensive auto spreading trading platforms in order to successfully trade these spread combinations. And if the market is wide during, for example, overnight hours or in some longer duration expiries - you can improve the market and be best bid or offer using the exchange supported spreads ( I do it all the time ).

    As a side note to the uninformed, you can indeed leg two exchange supported intra market calendar pair spreads simultaneously in order to create a Futures Butterfly or a Futures Condor. But the better choice is to just enter an order for an exchange Futures Butterfly or Condor.

    Charting these is sometimes a peculiar endeavor. Few charting vendors offer exchange spreads and the ability to correctly write a synthetic spread expression. Depending on your charting platform vendor you might have to combine exchange calendar pairs in order to chart a spread - depends upon the vendor. From personal experience CQG is the best, but it is expensive. eSignal is mediocre but it's cheap.

    I strongly urge my own clients to do as little legging as possible - there's just too much risk. Which brings us back to the main reason to do the exchange spreads to begin with.

    https://www.cmegroup.com/confluence...eads+and+Combinations+Available+on+CME+Globex
     
    Last edited: Oct 12, 2018
    #47     Oct 12, 2018
  8. H2O

    H2O

    I just wanted to chime in on the above - while I agree it may not apply to Bone's typical 'swing trading' target products, when I was trading STIRS it certaintly made sense to leg into (double) flies, condors or other 'complex' strategies through the spread matrix.
    I'm not suggesting anyone should just hit bids and lift offers, but generally speaking I was able to improve on my entries (i.e. able to get long at the bid / short at the offer) by going through the spread matrix instead of posting bids / offers in the butterfly book.
    When trading very low volatility products like double flies (especially in Reds, Greens and Blues) this can make a huge difference in returns...
     
    #48     Oct 19, 2018
    bone likes this.
  9. Trader13

    Trader13

    When trading the exchange implied spread on a fly or condor, or you getting an improvement on the bid/ask spread during execution, or are you effectively paying the b/a spread on all legs just as if you were executing each leg separately? Specifically, for the non-rates products like energies, grains?
     
    #49     Oct 26, 2018
  10. bone

    bone ET Sponsor

    It’s a singular price DOM, just like an outright market. You can work bids, you can work offers just like an outright market. You just need to be aware that, for example on a butterfly, that buying the bid on the wings and selling the offer on the body may not be the best price. Other traders might be willing to buy the bid on one wing, sell the offer on the body, and buy the offer on the other wing - thus improving the price by one tic.

    The exchange spread order markets will accommodate the same electronic order strategies as the outright markets: GTC, Limit Orders, Stop Limit Orders, FOK, MOO, MOC, etc..
     
    Last edited: Oct 26, 2018
    #50     Oct 26, 2018