NexusFi: Find Your Edge


Home Menu

 


Quotes by TradingView
Go Back   >  Search Forums  > 

Showing results 1 to 19 of 19
Search: Posts Made By: Fat Tails
Forum: Brokers February 4th, 2015, 11:42 AM
Replies: 57
Views: 42,765
Posted By Fat Tails
I think that the real problem is the limited...

I think that the real problem is the limited storage in Cushing. You cannot build a world class comodities contract on delivery fixed at a lonely pipeline depot somewhere in the pampas. The Cushing...
Forum: Brokers February 2nd, 2015, 04:17 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
Impact of rollover cost on crude oil long only funds

Just for fun I have compared backadjusted and merged non-adjusted charts for WTI and Brent futures. The outcome is more than astonishing.


Suppose that you were a long only oil fund and that you...
Forum: Brokers July 25th, 2013, 11:49 AM
Replies: 57
Views: 42,765
Posted By Fat Tails
The rollover dates for index futures are pretty...

The rollover dates for index futures are pretty simple to determine. Unlike for CL there are "official" rollover dates, which are used by everybody.

Index futures generally expire on the 3rd...
Forum: Brokers July 15th, 2013, 03:32 AM
Replies: 57
Views: 42,765
Posted By Fat Tails
No guarantee that I have done it correctly. ...

No guarantee that I have done it correctly.


118757
Forum: Brokers October 19th, 2012, 03:13 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
Looks like DTPro is OEC Trader (Open E Cry).

Looks like DTPro is OEC Trader (Open E Cry).
Forum: Brokers September 19th, 2012, 12:23 AM
Replies: 57
Views: 42,765
Posted By Fat Tails
Interactive Brokers shows 135k for Oct and 111k...

Interactive Brokers shows 135k for Oct and 111k for Nov. It really depends on which volume is included. In any case you have to compare unmerged individual contracts, and not a merged or continuous...
Forum: Brokers September 18th, 2012, 06:39 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
For CL I use volume rollover. Today (September...

For CL I use volume rollover. Today (September 18) volume for the new contract was 196,192, volume for the old contract was 176,039. This means that volume will switch to the new contract tomorrow.
...
Forum: Brokers September 9th, 2012, 04:06 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
revtrader: "Last Date" is the last working day...

revtrader: "Last Date" is the last working day prior to volume crossover. I used the settlement prices to calculate the offsets, but if you calculate them from the close, they will be similar.

...
Forum: Brokers April 11th, 2012, 05:23 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
Determining a rollover date is relatively simple....

Determining a rollover date is relatively simple. You want to roll on the day, when liquidity (number of contracts traded per day) has shifted to the new front month contract.

Of course you can...
Forum: Brokers February 23rd, 2011, 11:31 AM
Replies: 57
Views: 42,765
Posted By Fat Tails
Brent Crude Allows for Cash Settlement

If you look at the IPE traded Brent contract, which also has excellent liquidity (150k contracts per day for Brent Crude @IPE compared to 300k contracts per day for WTI @NYMEX), it allows for cash...
Forum: Brokers February 23rd, 2011, 10:35 AM
Replies: 57
Views: 42,765
Posted By Fat Tails
Yes, if you hold a long contract until expiry,...

Yes, if you hold a long contract until expiry, you will have to take delivery in Cushing, Oklahoma. Typically your broker will close out your position, before this happens, but if you are unlucky and...
Forum: Brokers February 21st, 2011, 04:41 AM
Replies: 57
Views: 42,765
Posted By Fat Tails
The CL contract is a very special contract....

The CL contract is a very special contract. Delivery takes place in Cushing, Oklahoma, which is absolutely stupid. Imagine the worlds crude prices depend on a pipeline depot in the middle of nowhere....
Forum: Brokers January 4th, 2011, 02:11 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
You want to look at total daily volume to...

You want to look at total daily volume to determine the rollover date, did not see this in T&S.
Forum: Brokers January 4th, 2011, 01:17 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
But then you will only be alerted once the volume...

But then you will only be alerted once the volume has shifted to the new contract.

I actually prefer rolling at the close prior to rollover day, so I am ready to roll, if the new front month...
Forum: Brokers October 24th, 2010, 05:44 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
Thanks, there was an error in the formula! That...

Thanks, there was an error in the formula! That is one of the universal excel problems. Adding lines and not modifying the formula. :becky:

The correct value is 34.60. Thanks for the hint, I have...
Forum: Brokers October 24th, 2010, 01:25 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
I am not trading hundreds of different futures...

I am not trading hundreds of different futures contracts. As long as I put in a date that suits me, I am happy. :) This is a little work once per month, and it reminds you that CL is always in...
Forum: Brokers October 24th, 2010, 01:03 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
Yes, I have tested it. MultiCharts will then roll...

Yes, I have tested it. MultiCharts will then roll after the day, when the volume crossover happened. I actually prefer to roll earlier, that is prior to volume rollover. Doing this when the new front...
Forum: Brokers October 24th, 2010, 09:18 AM
Replies: 57
Views: 42,765
Posted By Fat Tails
CL rollover dates and offsets

These are the rollover dates and offsets I have used in 2009 and 2010. It is not a strict volume rollover, but in some cases I rolled one day earlier.

I have done several simulations of different...
Forum: Brokers April 16th, 2010, 01:32 PM
Replies: 57
Views: 42,765
Posted By Fat Tails
CL is one of the most dangerous contracts to...

CL is one of the most dangerous contracts to trade around expiry. The reason for this is the strange delivery site: a pipeline storage in Cushing, Oklahoma. Sometimes there is not enough product...
Showing results 1 to 19 of 19

What unexpected challenges have you encountered while trading on a "Funded Trader" platform?

View Results Discuss Poll
 

 
 


© 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