How do you choose which contracts to trade? Just asking because the September maturity is usually lightly traded so at the moment I simply ignore it.
Well. I guess Sep can considered the new crop even if ( I think ) oats is sometimes harvested as early as June. It is traditionally the expiry with the harvest discount. That's why I chose this spread. But yes, it took me 3 days to get the desired position.
Rolling dec (3days before exp) monthly arb w/ 2+3SD regression channels: How are you hedging the GBP leg, spot or futures?
Long GBP futures, not a perfect hedge. 5 K$ or so of difference in notional. I know nothing about currency futures , but a friend told me the difference spot vs futures relates to the relative interest rates, hence the hedge is the same in the end( apart from the fact that it is not the perfect amount in notional ).
Out @ -1.04. Gosh...That was a crappy trade. One day I will have to calculate what is my P§L by product on those spread trades. One thing is sure, sugar is not on the top of the list, softs in general are not.
Long CC N/U @ -24. - N/U is close to the low range of historical datas while the rest of the curve is bullish - K has a super bullish delivery period
Now the discount is close to -120 GBP on dec... That is a once in a decade opportunity...This is violent.