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commodity spreads

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  #91 (permalink)
Corntr8der
Chicago Il/USA
 
Posts: 7 since Apr 2017
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This is the type of stuff I look for.

Unfortunately, all of my past oil spreads have been just pure luck so... I don't know enough about oil to trade the spreads unless I'm subbing an outright with a spread. Even then it's not guaranteed to widen or narrow.

In hindsight it would have been a decent trade.

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  #92 (permalink)
zxcv64
London, UK
 
Posts: 74 since Jan 2018
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zxcv64 View Post
I've just noticed that the backwardation in CL has created a large divergence between CLU18 and CLZ18, currently almost 4. (In fact, other spreads eg CLU18-CLU19 etc etc show a similarly unusually large divergence.)
This spread has been between 0.5 - 1.7 for most of the year.

I would love to know the views of experienced guys here on how to trade this.


Link : https://www.barchart.com/futures/quotes/CLU18/technical-chart?plot=LINE&volume=contract&data=DO&density=X&pricesOn=1&asPctChange=0&logscale=0&indicators=SRSI&sym=CLU18-CLZ18&grid=1&height=500&studyheight=100&isSpread=1

After posting the above, I entered the trade at around 3.2 and exited it last week at 1.7. I believe there is further profit to
be had, but I was happy with the returns. I do not profess to understand all the fundamentals behind CL (it's such a
complex beast), but I enjoyed the quick in-out, based purely on technical aspects.

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  #93 (permalink)
Corntr8der
Chicago Il/USA
 
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zxcv64 View Post
After posting the above, I entered the trade at around 3.2 and exited it last week at 1.7. I believe there is further profit to
be had, but I was happy with the returns. I do not profess to understand all the fundamentals behind CL (it's such a
complex beast), but I enjoyed the quick in-out, based purely on technical aspects.

Nice! I so badly want to figure out CL spreads. They offer one of the best returns on margin I have ever seen.

A number of people I talked to before only trade one month spreads and more or less swing trade them in and out of their range. It almost sounds like what you just did here.

I suppose I won't get good at it until I actually start following them like I did with corn...

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  #94 (permalink)
zxcv64
London, UK
 
Posts: 74 since Jan 2018
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Corntr8der, I basically saw a chart of the spread which showed a big divergence, and took the trade on. It worked out well.

I have another open spread as below :

GO (Gas-Oil), GOU18-GOZ18. Buying the Sep, and selling the Dec. I opened it on 12-Jul for -0.5. Will aim to close for around 4 to 6. The margin on this was quite low at $250. I saw this on seasonalgo, and the chart there looks very convincing.

I'd love to insert an image, but am having problems. Will try and attach a file.

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  #95 (permalink)
Corntr8der
Chicago Il/USA
 
Posts: 7 since Apr 2017
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Nice to see you found something that works. It sounds similar to what I do.
I've been looking into crude spreads lately. I took a quick trade yesterday on the Sept/Oct spread and made a nice and easy Ben Franklin. I was surprised at how easy it was.
I've been doing a lot of research about the crude spreads and found the one month spreads to be less volitile than trading three, six or twelve month spreads.
Ironically, I also discovered that most of the time traders spread rbob and crude. The crack spreads still seem to hold their seasonality pretty well. I've been waiting for an opportunity to test it out.


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  #96 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
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Corntr8der View Post
Nice to see you found something that works. It sounds similar to what I do.
I've been looking into crude spreads lately. I took a quick trade yesterday on the Sept/Oct spread and made a nice and easy Ben Franklin. I was surprised at how easy it was.
I've been doing a lot of research about the crude spreads and found the one month spreads to be less volitile than trading three, six or twelve month spreads.
Ironically, I also discovered that most of the time traders spread rbob and crude. The crack spreads still seem to hold their seasonality pretty well. I've been waiting for an opportunity to test it out.


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I agree, I also like trading crack spreads and the RB-HO spread. Their seasonalities are quite reliable.

Currently I am long the RBG9-HOG9. (I usually hold my trades for weeks or months.)

Best regards, Myrrdin

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  #97 (permalink)
zxcv64
London, UK
 
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myrrdin View Post
I agree, I also like trading crack spreads and the RB-HO spread. Their seasonalities are quite reliable.

Currently I am long the RBG9-HOG9. (I usually hold my trades for weeks or months.)

Best regards, Myrrdin

I assume you entered this around mid Jun. If so, this is now showing a really good profit. This year, the spread seems to
have mirrored the 15-year seasonality very well.

I'm a newbie to futures calendar spreads (but 20+ years in options trading) and so far I love the way these
spreads behave, how margin efficient they are and how they really can offer proper diversification and are very scalable.

I'm hoping this particular thread becomes more active, as it's a tremendous learning resource.

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  #98 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
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zxcv64 View Post
I assume you entered this around mid Jun. If so, this is now showing a really good profit. This year, the spread seems to
have mirrored the 15-year seasonality very well.

I'm a newbie to futures calendar spreads (but 20+ years in options trading) and so far I love the way these
spreads behave, how margin efficient they are and how they really can offer proper diversification and are very scalable.

I'm hoping this particular thread becomes more active, as it's a tremendous learning resource.

The main reason why I like spread trading is diversification. Otherwise it is hard to find a large enough number of trades that are independent from each other.

I entered the RBG-HOG spread between -26 and -27 in early July. Target is between -10 and 0 some time in January. I might roll the spread to avoid the front month contracts.

In many years I enter this trade in October. In El Nino years - relatively warm winters in the US - I prefer entering earlier.

You might want to have a look at my other threads in the commodities section (Energies, Grains & Beans, Meats, Softs, Metals, Seasonal Trades). They also include spread trading.

Best regards, Myrrdin

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  #99 (permalink)
 
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 mattz   is a Vendor
 
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@myrrdin I have seen more and more people requesting to trade VIX Futures spreads using their term structure.
Have you ever looked at these instruments? Just interested in your feedback as a spread trader.

Thanks,
Matt Z
Optimus Futures

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  #100 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
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mattz View Post
@myrrdin I have seen more and more people requesting to trade VIX Futures spreads using their term structure.
Have you ever looked at these instruments? Just interested in your feedback as a spread trader.

Thanks,
Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

I never was interested in trading VIX future spreads.

Most of the spreads I trade are inter-commodities spreads or old crop / new crop spreads, and show strong seasonals (Grains & Beans, Meats, Energies).

Best regards, Myrrdin

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