Agreed... No options on CL calendars then no deriving any outright long vol on the spread as it goes directionally both ways ireelative of vol... Just was thinking out loud...
There are CSOs on WTI and Brent both on CME and ICE. Never traded them myself, but I know they're there. http://www.cmegroup.com/trading/energy/files/trading-energy-calendar-spread-options.pdf
When you get into a fly you buy and sell an equal number of spreads. Going long a 6 month spread is the sum of going long six 1 month spreads, you could build it that way by buying each month individually but then you'd be paying more commissions. So in order to hedge that you need to equivalently sell 6 lots of a 1 month, that's all it is, you just need your exposure to be equal. Also I only talked about momentum in reference to legging into a trade to improve execution edge. mmt Based on a 6 lot trade. Getting into a spread will cost 6 roundtrips. Getting into a 1 month fly will cost 6 roundtrips to get into 1 leg and 6 for the other leg. Getting into a 1v6 combo will cost 6 roundtrips for the 1month and 1 roundtrip for the 6 month - so an extra roundtrip, or 1/6th more expensive than a straight spread trade.
i'm familar with them as well.. I've never traded or followed any of the major intercommodity spreads crack spark crushes etc.
an astute post along with your talk of 'execution edge'. There is a lot to be said about execution edge. The use of an autospreader of course allows you to set your entry price, you don't always get what you want you might get partials/overfills/legged. Legging manually allows you to 'utilise' a favourable queue position which an autospreader by definition doesn't as it is continually pulling orders and reworking. GL
So In some sense leaving a bid for a spread out can order you in a que such that when the price gets around your price your more likely to get filled
Yes an autospreader will put you in a queue but as it works your price it will likely not be at the front. You would never use an autospreader to get queue position. Leaving a limit in a leg gets you queue position. In addition I believe autospread orders can only be day orders and stand alone orders can be gtc. An extreme example of queue position might be placing orders in the book 30 ticks off market in something thick like schatz. When it comes towards your price you have an advantage. (advantage not edge).
This is how I figured it was... I thought in worry maybe a market maker or there was a way to jump que by hft or something.. As I leave lmt orders out for weeks sometimes
I've never used an auto spreader before but I can see certain situations where I'd prefer it, I think I've got it in my front end included. If nothing else I can spend less time in front of the screens.