NexusFi: Find Your Edge


Home Menu

 





commodity spreads


Discussion in Commodities

Updated
      Top Posters
    1. looks_one SMCJB with 23 posts (21 thanks)
    2. looks_two brentf with 16 posts (12 thanks)
    3. looks_3 Kurtas with 9 posts (5 thanks)
    4. looks_4 myrrdin with 8 posts (10 thanks)
      Best Posters
    1. looks_one myrrdin with 1.3 thanks per post
    2. looks_two SMCJB with 0.9 thanks per post
    3. looks_3 brentf with 0.8 thanks per post
    4. looks_4 Kurtas with 0.6 thanks per post
    1. trending_up 29,235 views
    2. thumb_up 66 thanks given
    3. group 40 followers
    1. forum 99 posts
    2. attach_file 17 attachments




 
Search this Thread

commodity spreads

(login for full post details)
  #81 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,680
Thanks Received: 2,651


zxcv64 View Post
Hi,

Pls forgive the noob question. I am looking on seasonalgo, and they have a good spread to enter around about now.
It's selling the GEH19-ZFU18.

I am experimenting with trying to create this in IB. But I'm struggling to see how seasonalgo get the price of 129,699
when the individual quotes are :

GEH19 - 97.1975
ZFU18 - 113.2929688

I cannot post a link or image as I do not have enough posts on here.

Can someone kindly show me where I am going wrong?

1. GE has a multiplier of 2500, ZF has a multiplier of 1000. Thus, the difference might be approx. 130. (I did not check.)


2. What makes you think that this is a "good spread" ? Do you have an idea what is the reason why this spread worked in the past ?


Best regards, Myrrdin

Reply With Quote
The following user says Thank You to myrrdin for this post:

Can you help answer these questions
from other members on NexusFi?
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
Request for MACD with option to use different MAs for fa …
NinjaTrader
ISO Equity Curve Indicator
NinjaTrader
Trader Dale [email protected] or Scammer Dale
Trading Reviews and Vendors
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Tao te Trade: way of the WLD
33 thanks
GFIs1 1 DAX trade per day journal
25 thanks
Supertradersams Thread Journal on NQ/MNQ
23 thanks
Leaving CFD trading and learning futures
13 thanks
Deaddogs Stock Trading
13 thanks

(login for full post details)
  #82 (permalink)
zxcv64
London, UK
 
Posts: 74 since Jan 2018
Thanks Given: 162
Thanks Received: 68


myrrdin View Post
1. GE has a multiplier of 2500, ZF has a multiplier of 1000. Thus, the difference might be approx. 130. (I did not check.)


2. What makes you think that this is a "good spread" ? Do you have an idea what is the reason why this spread worked in the past ?


Best regards, Myrrdin

Good question. I do not understand what the reasons for this trade working/not-working in the past would be and so I am not opening this trade, but wanted to set it up on IB and watch it to see how it behaves. This would encourage me to follow the underlyings more and see how their fundamentals change and what affect they have on the spread price. I'm more than happy to receive a crash course on GE and ZF.

Reply With Quote
(login for full post details)
  #83 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,680
Thanks Received: 2,651



zxcv64 View Post
Good question. I do not understand what the reasons for this trade working/not-working in the past would be and so I am not opening this trade, but wanted to set it up on IB and watch it to see how it behaves. This would encourage me to follow the underlyings more and see how their fundamentals change and what affect they have on the spread price. I'm more than happy to receive a crash course on GE and ZF.

I do not trade seasonals for the financial markets. Thus, I do not have an idea why this trade should work.

I prefer trading seasonal trades that I understand.

Best regards, Myrrdin

Reply With Quote
The following user says Thank You to myrrdin for this post:
(login for full post details)
  #84 (permalink)
 
CobblersAwls's Avatar
 CobblersAwls 
London, United Kingdom
 
Experience: Intermediate
Platform: N/A
Broker: Bloomberg
Trading: Energies
Posts: 310 since Jul 2014
Thanks Given: 1,089
Thanks Received: 386

Are you referring to Eurodollars vs US 5yr Note?

Seems a really odd trade for several reasons;

There's time risk (U8 v H9) as well as the fact you are essentially trading 3m LIBOR vs a 5yr Government Note (that is actually anywhere between 5.25 - 4.17 years in duration upon delivery). So I can't quite see what the relationship would be here? What did the recco say the reasoning was?

If you wanted to take this trade based on the assumption lending among banks might get stressed vs the Gov, why not spread EDs vs FFs (Federal Funds)? That is a far more common pair to spread afaik.

If you would like to look at some interesting spreads in the Eurodollar market, may I suggest checking out some of the spreads around 2019. Z8-H9 has been trading negative, implying that the market is pricing in lower yield in March 2019 than December 2018. Some speculate this could be due to a recession, perhaps it has something to do with the Z turn? Who knows. It's a terribly complex market - good luck.

Visit my NexusFi Trade Journal Reply With Quote
The following 2 users say Thank You to CobblersAwls for this post:
(login for full post details)
  #85 (permalink)
 
CobblersAwls's Avatar
 CobblersAwls 
London, United Kingdom
 
Experience: Intermediate
Platform: N/A
Broker: Bloomberg
Trading: Energies
Posts: 310 since Jul 2014
Thanks Given: 1,089
Thanks Received: 386

FYI - as this is such a large topic and there's some interest, I thought I'd create a thread dedicated to the topic so as not to clutter this commodities spread thread.



Be great to have some discussion and learn/teach each other.

Visit my NexusFi Trade Journal Reply With Quote
The following user says Thank You to CobblersAwls for this post:
(login for full post details)
  #86 (permalink)
 Futuresnoob 
San Antonio Texas
 
Experience: Intermediate
Platform: Sierra Charts, TOS
Broker: Edge Clear, Rithmic
Trading: ES and Treasury Spreads
Posts: 102 since Nov 2016
Thanks Given: 50
Thanks Received: 55

Does anyone here day trade spreads? Regardless of instrument. I'm starting to experiment with spreads and if it is wise to day trade them. Trying to understand the variables to look at when determining which spread to trade. Glad to see this tread is becoming more active again.

Jason

Reply With Quote
(login for full post details)
  #87 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,680
Thanks Received: 2,651


Futuresnoob View Post
Does anyone here day trade spreads? Regardless of instrument. I'm starting to experiment with spreads and if it is wise to day trade them. Trying to understand the variables to look at when determining which spread to trade. Glad to see this tread is becoming more active again.

Jason

I trade a lot of spreads, but my time horizon is weeks or months. I do not day trade.

You find a lot of my ideas about spread trading in in various threads of this forum.

Best regards, Myrrdin

Reply With Quote
The following 2 users say Thank You to myrrdin for this post:
(login for full post details)
  #88 (permalink)
supreme23
Vancouver
 
Posts: 29 since Apr 2018
Thanks Given: 19
Thanks Received: 9


brentf View Post
I have traded commodity spreads for the past 30 years, looking to collaborate with another party to incorporate strategies into algorythims..any interest ?



I am , are you still looking for people ?

Reply With Quote
(login for full post details)
  #89 (permalink)
zxcv64
London, UK
 
Posts: 74 since Jan 2018
Thanks Given: 162
Thanks Received: 68

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

Reply With Quote
(login for full post details)
  #90 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Posts: 5,007 since Dec 2013
Thanks Given: 4,334
Thanks Received: 10,098



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.

The Canadian Syncrude outage is expected to affect Cushing crude stocks for the next two months and Trump's Armada of Saudi Crude Oil can't get here until October, hence the explosion in Q-V specifically and Q-Z in general.

Reply With Quote
The following 3 users say Thank You to SMCJB for this post:





Last Updated on August 3, 2018


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts