Oil futures spreads trading system
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-oo0(GoldTrader)
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See our thread Seasonal Spread trading library.
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Search Google for “Seasonal Spread Traders Library.”
-oo0(GoldTrader)
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Trading Spreads and Seasonals
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Joe Ross’s Book “Trading Spreads and Seasonals,” is a must read, no matter what the cost. You should have your own copy. I have at least three. Joe explains how to read close-only charts, which is what we use for spreads.
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Joe Ross’s Book “Trading Spreads and Seasonals,” is a must read, no matter what the cost. You should have your own copy. I have at least three. Joe explains how to read close-only charts, which is what we use for spreads.
He also goes on to explain how oscillators can also be used to trade spreads. Along with Wells Wilders book “New Concepts,” you would have 97% of all there is to know about using indicators on spread charts.
You can Google up a list of spread books at Seasonal Spread Trader’s Library when you need it. Joe’s Book has always been #1. Also not specifically about spreads Trade for a living.[/FONT]
Friends, I am new to calendar spreads.. Could any one suggest me a US/Canadian broker who allows calendar spread futures on crude/WTI with a reasonable commission? I am looking for anything below 20$ for round trade (opening and closing). All the brokers I have contacted till now are asking for much higher commission. I dont expect anything more than 30-50$ as profit from a single lot of crude calendar spread
Thanks in advance
Joby
Thanks in advance
Joby
jobysid,
$20 for a round trade? Thats ridiculous, a local (professional trader with the best clearing rates) will pay around $3.00 ish for the CL contract. About $2.80 on ICE. A decent retail broker will charge you about $4.50-$5 per round turn. I havent used any retail brokers but shop around if $20 is the best you are getting quoted. Velocity Futures look good. http://www.tradewithvelocity.com/commissions/product-commissions.aspx?productID=232
$20 for a round trade? Thats ridiculous, a local (professional trader with the best clearing rates) will pay around $3.00 ish for the CL contract. About $2.80 on ICE. A decent retail broker will charge you about $4.50-$5 per round turn. I havent used any retail brokers but shop around if $20 is the best you are getting quoted. Velocity Futures look good. http://www.tradewithvelocity.com/commissions/product-commissions.aspx?productID=232
Re: spreads trading
hI
Could you please have a look at this idea or "Hedged Credit Call Spread" ( well it is sort of hedged)
The idea is simply instead of Just doing a Call Credit spread you add a Bought call also
This is a "hold until expiry play"
Example
ignore commissions)
Stock NOV, Aug 10 , 1 day to expiry
Credit Spread:
Sell 9 x $38 calls @ 0.79 = + 711
Buy 9 x 39 Calls @0.19 = - 171
total Credit = $540
Bought Put
Buy 3 x $38 Call @0.83 = -249
Lets compare 2 strategy
1) Only do Call Credit Spread (CCS
2) Credit Spread + Bought Call (HCS)
At expiry:
Stock Below $38
CCS = +540 / HCS = +291
Stock In between $38 and $39 ( Say $38.5)
CCS = +90 / HCS = -159
Stock Up $42
CCS = -360 / HCS = +840
I have will upload file named CCSandHCS
These are prices form Virtual trade on Options Express
hI
Could you please have a look at this idea or "Hedged Credit Call Spread" ( well it is sort of hedged)
The idea is simply instead of Just doing a Call Credit spread you add a Bought call also
This is a "hold until expiry play"
Example
ignore commissions)Stock NOV, Aug 10 , 1 day to expiry
Credit Spread:
Sell 9 x $38 calls @ 0.79 = + 711
Buy 9 x 39 Calls @0.19 = - 171
total Credit = $540
Bought Put
Buy 3 x $38 Call @0.83 = -249
Lets compare 2 strategy
1) Only do Call Credit Spread (CCS
2) Credit Spread + Bought Call (HCS)
At expiry:
Stock Below $38
CCS = +540 / HCS = +291
Stock In between $38 and $39 ( Say $38.5)
CCS = +90 / HCS = -159
Stock Up $42
CCS = -360 / HCS = +840
I have will upload file named CCSandHCS
These are prices form Virtual trade on Options Express
nikhilthetrader
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how to trade on CME Globex from India? are ther any brokers offering crack spreads and brent/wti spreads? I trade crack spreads and eurodollar spreads but wanna start trading frm my own pockets.
Hi Kobza,
When backtesting technicals in oil spreads, I use the rolling series to view how sections of the forward curve has behaved historically, rather than actual month by month spreads, which amortise down the curve over time. Essentially creating the rolling series on the 1st v 2nd spread, 2v3, 3v4...etc. Rolling them over on the expiry dates.
On WTI I like looking at reversion trends on the rolling 3rd v 4th month spread rather than the front ones; it's still liquid enough, but isn't as noisy as the near ones and has a lower correlation front month flat price. The last 18 months has seen regular cyclical breakdown in the spread on a 6-8 week basis, generally between -0.25 and -1.20. At -1.20 Implied yields at current prices are >20% p/a, which must be tempting to anyone borrowing at sub 2% and storing at $0.30/b/m.
Brent spreads have lower volatility and tend to trend smoothly rather than the more erratic reversion characteristics seen in WTI. I like the 2nd v 3rd spread.
GasOil too 2nd v 3rd spread, very long smooth trending patterns, big tick size ($0.25c) and supports good sized positions. (spreads are often 5000lots a side)
Hope that's of some use.
Aside from the spreads, I like the front Brent v WTI arb, there's an intraday play here around the US open, seems to be a breakdown to the low or high of the day just after 8am EST which it then reverts from. I don't know the drivers for this and would love to hear anyone with any insight.
When backtesting technicals in oil spreads, I use the rolling series to view how sections of the forward curve has behaved historically, rather than actual month by month spreads, which amortise down the curve over time. Essentially creating the rolling series on the 1st v 2nd spread, 2v3, 3v4...etc. Rolling them over on the expiry dates.
On WTI I like looking at reversion trends on the rolling 3rd v 4th month spread rather than the front ones; it's still liquid enough, but isn't as noisy as the near ones and has a lower correlation front month flat price. The last 18 months has seen regular cyclical breakdown in the spread on a 6-8 week basis, generally between -0.25 and -1.20. At -1.20 Implied yields at current prices are >20% p/a, which must be tempting to anyone borrowing at sub 2% and storing at $0.30/b/m.
Brent spreads have lower volatility and tend to trend smoothly rather than the more erratic reversion characteristics seen in WTI. I like the 2nd v 3rd spread.
GasOil too 2nd v 3rd spread, very long smooth trending patterns, big tick size ($0.25c) and supports good sized positions. (spreads are often 5000lots a side)
Hope that's of some use.
Aside from the spreads, I like the front Brent v WTI arb, there's an intraday play here around the US open, seems to be a breakdown to the low or high of the day just after 8am EST which it then reverts from. I don't know the drivers for this and would love to hear anyone with any insight.
cyrustajik
Member
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hey
what your saying looks interesting. just tell me, what you mean by rolling series?
cheers
what your saying looks interesting. just tell me, what you mean by rolling series?
cheers
if you look at the WTI flat price over time, you're looking at a time series of the rolling front month future. by creating a rolling second month future, a third, a fourth...etc, you can then look at the rolling spread between the 3rd and 4th month. Hope that helps.
