Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
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.
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.
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.
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.
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.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,409
Thanks Received: 10,225
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.