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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
For 3 month spreads only look at HMUZ. There's not much liquidity outside of the 4th spread. Currently H8M8
For 6 month spreads only look at M and Z. There is good liquidity in the first 3 spreads (m7z7, z7m8, m8z9), okay liquidity in the next 2 (z9m0, m0z0) and nothing past that.
For 12 month spreads you can look at the first M-M spread but other than that only look at Z-Z spreads. There is good liquidity in the first 2 spreads (z7z8, z8z9), okay liquidity in the next (z9z0), z0z1 it depends on the day anything past that trades by appointment only.
I find building forward curves of the 1,3,6 & 12 month spreads to be informative.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
There's a lot of information on there.
One thing that is a great idea (and something I do myself) but don't like how they've done it is the "Calendar Spread Forward Curve' in the bottom right. Would be much better if it showed May/Jun, Jun/Jul, Jul/Aug, Aug/Sep etc rather than May/Jun, May/Jul, May/Aug, May/Sep etc
1) Flat price? to see backwardation/contango
2) 1 month calendar forward curves - so May/June, July/Aug etc
3) 3,6,12 month calendars as above
4) 3 month flys individually
What is the advantage for the flys have a scatter diagram vs price - not sure what this tells us.. (the M7 vs M7,H7,M8 fly)
Now
Where does it make sense to chart the flat price on these forward curves? I see its on the fly u charted
please do stop me if im asking too many detailed questions in an open forum
I will get to modeling them - hope CQG can create dashboards in excel or show me how to do it based on calendar prices