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Seasonal Trades


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Seasonal Trades

  #21 (permalink)
 johnsk00 
Buffalo+NY/Erie
 
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myrrdin View Post
The LCM Ė LCG attracted my attention.

This spread is recommended by MRCI from end of December until middle of January.

The spread worked for 13 of the most recent 15 years, shows a drawdown of more than $200 for only three years, and only shows one drawdown which is higher as the average profit.

Above all, the spread closed at -11.2 yesterday after recovering from its lowest value this year -12.25 . The lowest entry value since 2002 was 11.25 in 2004.

I intend to by this spread today.

Best regards, Myrrdin

If you trade this trade, keep in mind that this is a bear spread (shot near/long far) in a bullish moving market. I was short the Feb/Apr spread. It was following the seasonal quite nicely until the direction of the outright market, which asserts more influence on the spread over time (as the front month becomes near active), pushed the spread in a counter seasonal manner. In addition, unlike contango markets, where the cash-and-carry trade keeps the spread in check (to some degree), fighting a backwardated market can be a tough. Learning from the Z/G and G/J spreads, I would look to take profits quickly. Checkout this chart of the Feb/Apr spread where I sold in accordance with the seasonal (didnít quite work out):

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  #22 (permalink)
 myrrdin 
Linz Austria
 
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johnsk00 View Post
If you trade this trade, keep in mind that this is a bear spread (shot near/long far) in a bullish moving market. I was short the Feb/Apr spread. It was following the seasonal quite nicely until the direction of the outright market, which asserts more influence on the spread over time (as the front month becomes near active), pushed the spread in a counter seasonal manner. In addition, unlike contango markets, where the cash-and-carry trade keeps the spread in check (to some degree), fighting a backwardated market can be a tough. Learning from the Z/G and G/J spreads, I would look to take profits quickly. Checkout this chart of the Feb/Apr spread where I sold in accordance with the seasonal (didnít quite work out):

Yes, it is a bear spread. Although in the meats contracts move more individually than in many other commodities.

I do not know when you entered the LCJ-LCG. But one difference might be that I entered the LCM-LCG spread close to the lowest value it had in the most recent 15 years. The other difference might be that the spread worked very reliably for my entry date.

But of course - the spread might move further downwards. I will not be very patient, and use a close stop. I also already placed limit orders to take profit at various levels.

Best regards, Myrrdin

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  #23 (permalink)
 myrrdin 
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There are important reports for cattle and hogs tomorrow after the close.

The monthly Cattle on Feed-Report as well as the quarterly Hogs and Pigs Report can be market movers.

Best regards, Myrrdin

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  #24 (permalink)
 myrrdin 
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myrrdin View Post
There are important reports for cattle and hogs tomorrow after the close.

The monthly Cattle on Feed-Report as well as the quarterly Hogs and Pigs Report can be market movers.

Best regards, Myrrdin

Just read that these reports will be released at 11 am (Chicago Time) or 18.00 (Central European Time). Whereas usually the release is after the close, this time trading will be open for 1 1/4 more hours.

Obviously the CME wants to avoid a release of these reports after the close, as the next trading day will show very low volume due to Chrimas.

Best regards, Myrrdin

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  #25 (permalink)
 ron99 
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myrrdin View Post
Just read that these reports will be released at 11 am (Chicago Time) or 18.00 (Central European Time). Whereas usually the release is after the close, this time trading will be open for 1 1/4 more hours.

Obviously the CME wants to avoid a release of these reports after the close, as the next trading day will show very low volume due to Chrimas.

Best regards, Myrrdin

Here's a link to the USDA report calendar. All times listed are ET. Click on Calendar view to get future months.
https://www.usda.gov/wps/portal/usda/usdahome?navid=AGENCY_REPORTS

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  #26 (permalink)
 myrrdin 
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I am still holding the KWH-WH spread. Nothing regarding the fundamentals has changed significantly. The spread receives support from seasonals at least until end of January

January 12th the next important USDA report on grains and beans will be published. The January report is well known for surprizes.

Best regards, Myrrdin

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  #27 (permalink)
 
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 Kruger 
Cape Town South Africa
 
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myrrdin View Post
I am still holding the KWH-WH spread. Nothing regarding the fundamentals has changed significantly. The spread receives support from seasonals at least until end of January

January 12th the next important USDA report on grains and beans will be published. The January report is well known for surprizes.

Best regards, Myrrdin

How is this spread doing since the USDA report?

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  #28 (permalink)
 myrrdin 
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Kruger View Post
How is this spread doing since the USDA report?

The spread has moved up nicely - unfortunately without me ...

It closed at 13 on Wedenesday (day before USDA report), and closed at 23 on Friday.

Best regards, Myrrdin

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  #29 (permalink)
 
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 Kruger 
Cape Town South Africa
 
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myrrdin View Post
The spread has moved up nicely - unfortunately without me ...

It closed at 13 on Wedenesday (day before USDA report), and closed at 23 on Friday.

Best regards, Myrrdin

That was quite a move, pity you were on the sideline

I am currently Long Corn - Short Wheat, May 17 contract (ZCK - ZWK)

Regards

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  #30 (permalink)
 myrrdin 
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Kruger View Post
That was quite a move, pity you were on the sideline

I am currently Long Corn - Short Wheat, May 17 contract (ZCK - ZWK)

Regards

I like the CK-WK at this time of the year. According to MRCI data, the trade should work until end of February.

A problem is that this spread already has run quite far. Not often did this spread move significantly below 50. But there are several examples in recent years (2011, 2012, 2013).

Best regards, Myrrdin

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Last Updated on May 4, 2021


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