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)
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
NG Spreads in general, and certain ones in particular, are definitely more volatile than CL Spreads, its far more seasonal than CL.
(100 day standard deviation of daily change of CLU7/Z7 is 60.2c or $602/contract while for NGU7/Z7 it's 0.99c or $994/contract.
If you divide the margin by these USD values you get 5.1 and 5.0!)
When we get back to winter NG is more volatile in general, and come December outright margins will be higher than CL as well.
The other thing you need to consider is that SPAN uses tiers. Spreads 'within' a tier are margined at lower rates than spreads 'between' tiers. I'm not sure which tiers the contracts you picked are in, but that could have an effect as well.
outright is CLEM7 (for June)
a 1 month calendar will be CLES1M7 (S1 denoting 1 month spread and M7 is the starting month)
a 3 month calendar will be CLES3M7 (S3 denoting 3 month spread and M7 is the starting month)
So CLES12Z7 means 12 month calendar from Z7 (Dec) - so Crude dec 2017/Dec 2018 calendar
A fly is 2 calendars (one calendar minus the other calendar)
CLES12Z7 - CLES12Z8 means
Long Crude dec 2017/Dec 2018
Short Crude Dec 2018/Dec 2019
(so if u think of an option butterfly where you are 1/2/1 with the middle being short 2, similarly you are short Dec 2018 twice and long Dec 2017 and Dec 2019