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Platform: NinjaTrader , Multicharts and my own system
Trading: Futures
Posts: 294 since Feb 2015
Thanks Given: 19
Thanks Received: 459
my first short was at 42.43 and I'm adding to that now. I think predicting where it will stop is like picking tops and bottoms so I avoid it. I'll ride this until it is over...if it is 30 or 40 doesn't matter.
Can you help answer these questions from other members on NexusFi?
In an attempt to learn more, I ran some historical data and was looking at seasonal correlations. I noticed some interesting correlations and also some shifts in seasonal patterns:
From 2006 (and perhaps prior) Gasoline seemed to trade at a premium to ULSD between February and July on what seems to be a consistent basis. This correlation has shifted since 2012 when it narrowed to between February and April, and since 2014 has began trading at a premium between April and July. It will be interesting to see how the current RBOB>ULSD trade continues as it's currently still trading at a premium since April 15.
Concerning ULSD I couldn't see much correlation other than that usually toward the end of Autumn/Start of Winter we would see ULSD trade higher, however from 2011 I noticed that ULSD began to form a pattern of trading at a premium between September and February.
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
I've been travelling for a week again so have not been sat in front of a screen.
Not sure if today's movement was a function of Sep expiring or maybe some bad settlements last night, but wow, what a strange move.
Sep/Oct spread +29c ... okay that was maybe just expiry
Oct/Nov +14c... still strong
Nov/Dec +2c, Dec/Jan +3c, slightly out of character given the magnitude of U/V and V/X
Would you say this is pretty uncharacteristic then? I would like to know if there's any sound reasoning towards the move or if it was dumb luck? (negating the argument most trading is )
Also, and sorry if this is a painfully retarded question but - the scatter diagram - is this a simulated projection of possible outcomes from the CLQ4/CLQ5 spread, with orange indicating our current position? I'm unfamiliar with these types of charts.
I'm trying to show the relationship between backwardation/contango and outright price levels.
This chart is showing the 2nd month contract on the x-axis and the (2nd-14th) spread on the y-axis. Hence for last night/Aug 20th, the 2nd month contract was Oct (V5) and (2nd-14th) spread was Oct5/Oct6 (V5-V6). Tonight this will roll to Nov since Sep expired yesterday.
The Orange Diamond on the chart shows where we were last night (V5=4132, V5/V6=-707). Hence based upon this relationship for the last year, we would have expected V5/V6 to be as much as $2 wider given how low V is.
Note that tonight if the market is unchanged today Month 2/X5 will be 4209 and X5/X6 will be -674.
It's very very crude but it would imply that based upon what we have seen over the last year, contango should be steeper than it was last night based upon current prices.