Calendar spreads - Where to Start

[Zulu89]

I trade futures outright at the moment, mainly focusing on the European equity indices. I would like to start learning about calendar spreads and how they're traded, just to add one more string to the bow i guess. As theres not alot of material about calendar spreads out there, i have a few questions.

What types of contracts are used in trading these spreads ? (eurostoxx, bund..etc)

Is it possible to trade calender spreads intraday?

Are spread trades taken on a mostly technical basis or fundamental ?

I hear that for most traders the profit they make isnt actually from the profit on their trades but the rebate from the exchange, is this true?

In addition can you suggest a book that covers calendar spreads in detail.

Thanks

 

[Martinghoul]

1. You can have a calendar spread in pretty much any contract, but the way spreads function and are tradable varies deending on the mkt.
2. Yes, it's possible, but depends on the contract.
3. Don't know... Personally, I wouldn't have a clue how to trade calendar spreads on a technical basis.
4. Don't know.
5. I don't know any books like that, unfort.

 

[arabianights]

Most intraday calendar spread trading is either STIRs or the more volatile commodities... trading calendar spreads on things like STOXX or Bund is known as trading the roll (i.e. traders rolling positions from front month into second month to avoid delivery) and is an art unto itself. Also there are rolls in all commodities, but there are other reasons for trading those spreads as well - for a true commodity the spread should just be the cost of carry, but there is no such thing as a true commodity, if you get me.

The strategies used really, REALLY depend upon the contract.

As for living off exchange rebates... there are some traders who do this, but not all that many. It used to be more common in the past. The types of trading they would be doing might involve 8 legs - INTENTIONALLY - to make a tick, so rebates start becoming pretty important

 

[Zulu89]

Trading STIR calendar spreads is probably the way ill go but there's a few things im puzzled about. I just pulled up a Euribor spread chart and the daily range is about 4-5 ticks, how do spread traders generate such a high amount of round turns? Trading outrights im quite technically inclined, buying and selling at levels etc. Is technical analysis used trading the euriobr spread or is it mostly fundamentally driven?

 

[-oo0(GoldTrader)]

I trade futures outright at the moment,

I trade Seasonal calendar spreads. This may not be of help to you, but I put it in for the record.

I would like to start learning about calendar spreads and how they're traded.

For us, a calendar is trading against the way time acts on the same spread over time. You are long and short futures in the same market but in different months.

We might go long a near and short a far, or long a far and short a near, both can be bull, or bear spreads.

What types of contracts are used in trading these spreads?

We use just about anything that shows a distinct seasonal pattern and about a twenty-year history.

Is it possible to trade calendar spreads intraday?

Seasonals suggest bracketing a time of two to eight weeks, to give seasonal forces a chance to equalize.

Are spread trades taken on a mostly technical basis or fundamental?

Yes. Spread trades are taken on a technical and fundamental basis. Everything is in the Seasonal chart.

I hear that for most traders the profit they make isn’t actually from the profit on their trades?

All of our profit is from trades.

Can you suggest a book that covers calendar spreads in detail.

Trading Spreads and Seasonals ~ Joe Ross.
Search Amazon for "Seasonal spread traders library."

 

[SuperDriveGuy]

I trade futures outright at the moment, mainly focusing on the European equity indices. I would like to start learning about calendar spreads and how they're traded, just to add one more string to the bow i guess. As theres not alot of material about calendar spreads out there, i have a few questions.

What types of contracts are used in trading these spreads ? (eurostoxx, bund..etc)

Is it possible to trade calender spreads intraday?

Are spread trades taken on a mostly technical basis or fundamental ?

I hear that for most traders the profit they make isnt actually from the profit on their trades but the rebate from the exchange, is this true?

In addition can you suggest a book that covers calendar spreads in detail.

Thanks

Hi Zulu,
I am in a similar situation to yourself, I trade the European Index Futures, currently looking to actually spread between them e.g. FDAX/Z(ftse).
In my searches I came across protradedigest.com. The site is by a guy called Guy Bower, he sell his signal services(I am NOT a subscriber), but there is lot of free information as well, as a newbie I appreciated all that info. No, I am not advertising for him, just thought you may find it useful.

Please let me know if you get more information on spreading in general!

Regards,

SDG

 

[monahaj]

I trade Seasonal calendar spreads. This may not be of help to you, but I put it in for the record. For us, a calendar is trading against the way time acts on the same spread over time. You are long and short futures in the same market but in different months.

We might go long a near and short a far, or long a far and short a near, both can be bull, or bear spreads.We use just about anything that shows a distinct seasonal pattern and about a twenty-year history.Seasonals suggest bracketing a time of two to eight weeks, to give seasonal forces a chance to equalize.Yes. Spread trades are taken on a technical and fundamental basis. Everything is in the Seasonal chart.All of our profit is from trades.Trading Spreads and Seasonals ~ Joe Ross.
Search Amazon for "Seasonal spread traders library."

Do all of those books in your amazon library make reference to spreads or are some just general trading books?

 

[charliechan]

Futures Spread Trading: The complete Guide by Courtney Smith is probably the best place to start.

The Joe Ross book is a waste of time IMO. Its expensive, and the second half (seasonal outrights) is the same as the the first half (seasonal spreads). Once you know what a spread is, and the benefits, you can make decisions like any other trade/product

MRCI.com is excellent for trade ideas.

All pro's trade spreads: either cash v futures (basis trading), intra commodity or inter commodity, pairs etc.

You should also read Gold Traders approach. Build the spread position (Gold Trader) rather than go all in and scale out (Joe Ross) is a better less risky way of trading trends imo.

 

[spreader_legger]

The Great revivalist!! :clap:

From my recolection, the amount you got in rebates from trading these although very useful, pretty much just covered desk costs. So not really a money making strategy in itself!

To trade spreads, I realy think you need DA. I used to trade STIRS, so I'm familiar how things worked with that. However, I should imagine things would be quite similar no matter what commodity you choose ( I think I saw a similar approach being used in cotton if I'm not mistaken)

Running 8 legs for a tick!!! those were the days

Do all of those books in your amazon library make reference to spreads or are some just general trading books?

 

[etem_tezcan]

CQG trader (Free or at most 30 pm) is pretty decent for trading some commodity future spreads. You should enter the spread in one atomic execution if possible. CQG trader allows buying and selling these spreads (they are called exchnage traded spreads.). Some spreads they allow are energy calendars, grain calendars and crack. check
http://www.cqg.com/docs/symbols.pdf
Also there are advanced and expensive software called spreaders. Prop STIR traders use them.

 

[-oo0(GoldTrader)]

Trading Spreads and Seasonals by Joe Ross is the only spread book that I know of that teaches traders how to use close only charts. So no matter what you have to pay, it is necessary. He explains how to use oscillators and chart patterns on spreads.

Do all of those books in your amazon library make reference to spreads or are some just general trading books?

Reminiscences of a Stock Operator Illustrated ~ general, not specifically spreads.

Seasonality: Systems, Strategies, and Signals by Jake Bernstein ~ trading spreads is pretty much a seasonal thing. Jake being one of the originators and inspiration to Steve Moore, everything he writes is in some way related to spreads.

Dragons and Bulls: Profitable Investment Strategies for Trading Stocks and Commodities by Stanley Kroll ~ general but it does have a chapter on spreads.

The Complete Guide to Spread Trading by Keith Schap ~ spreads

How I Made $2,000,000 In The Stock Market by Nicholas Darvas ~ T/A

The Encyclopedia of Commodity and Financial Spreads (Wiley Trading) by Steve Moore ~ spreads

Futures Spread Trading: The Complete Guide by Courtney Smith ~ traditional fundamental spread stuff, not much help in trading.

New Concepts in Technical Trading Systems by J. Welles Wilder ~ T/A

Trade Your Way to Financial Freedom by Van K. Tharp ~ general

A Complete Guide to the Futures Markets: Fundamental Analysis, Technical Analysis, Trading, Spreads, and Options by Jack D. Schwage ~ spreads

Advanced Commodity Spread Trading by Harold Goldberg ~ spreads

 

[-oo0(GoldTrader)]

Re: Calendar spreads - Books

Trading Spreads and Seasonals by Joe Ross is the only spread book that I know of that teaches traders how to use close only charts. So no matter what you pay, it is necessary.

Seasonality: Systems, Strategies, and Signals by Jake Bernstein ~ trading spreads is pretty much a seasonal thing. Jake being one of the originators and inspiration to Steve Moore, everything he writes is in some way related to spreads. ~ seasonals

The Complete Guide to Spread Trading by Keith Schap ~ spreads

The Encyclopedia of Commodity and Financial Spreads by Steve Moore ~ spreads

Futures Spread Trading: The Complete Guide by Courtney Smith ~ traditional fundamental stuff, not much help in trading. ~ spreads

A Complete Guide to the Futures Markets: Fundamental Analysis, Technical Analysis, Trading, Spreads, and Options by Jack D. Schwage ~ spreads

Advanced Commodity Spread Trading by Harold Goldberg ~ spreads

Fortune Building Commodity Spreads by Thomas Kallard ~ spreads

Sure Thing Commodity Trading: How Seasonal Factors Influence Commodity Prices by Larry Williams ~ seasonals

Spread Trading: Low-Risk Strategies for Profiting from Market Relationships by Howard Abell ~ spreads

The I Ching or Book of Changes by Richard Wilhelm ~ cycles

Monahaj,
Books like New Concepts in Technical Trading Systems by J. Welles Wilder are really necessary if a trader is going to use oscillators on spread charts, but the book like Darves book on the box break out, are not specifically about spreads. But with little modification they are about spread trading. And the way we play it, Reminiscences of a Stock Operator Illustrated by Jesse LIvermore especially chapter five is how the game is played. Email me and I will send you chapter five. But the whole thing is the game explained in its elemental form by a master trader.

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