Bone's Monday 3/16 GamePlan-Spreads

Discussion in 'Educational Resources' started by bone, Mar 15, 2009.

  1. bone

    bone

    In terms of my forthcoming SpreadProfessor membership website, I wanted to share my personal Monday 3/16 game plan:

    Value-weighted Equity Pairs:
    WMT/TGT-Sell 1:1.5
    EXC/XLU-Buy 1:2
    JNJ/PG-Buy 1:1
    XOM/BP-Sell 1:2
    IBM/HPQ-Sell 1:3
    ICE/CME-Buy 3:1
    CVX/COP-Buy 1:1.5
    XLP/SPY-Buy 4:1
    CPB/XLP-Buy 1:1 *** strong bias
    POT/MOS-Buy 1:2
    SO/XLU-Sell 1:1
    PFE/XLV-Buy 2:1

    Yield Curve-DV01 weighted 2:1 for single lots; 1.6:1 for up to 50 lots
    CBOT Fives to Tens - Buy
    CBOT Tens to Thirties - Buy
    the FiT has a little better Buy profile than the NoB

    Energy
    Rbob Crack, Nymex-Globex exchange supported 1:1, - Buy
    Nymex Crude Butterfly, May-June-July, 1:2:1, Sell May
    Nymex Nat Gas Butterfly, April-May-June, 1:2:1, Buy April
     
  2. bone

    bone

    11:00 am CDT Bone Position Update - Marks

    WMT-TGT: +$0.22
    EXC-XLU: ($0.18)
    JNJ-PG: ($0.31)
    XOM-BP: ($0.38)
    IBM-HPQ: ($2.37)
    ICE-CME: +$7.21
    CVX-COP: ($0.41)
    XLP-SPY: +$0.42
    CPB-XLP: +$0.29
    POT-MOS: ($0.17)
    SO-XLU: +$0.22
    PFE-XLV: +$0.15

    Equity Pairs Mark: +$4.69

    Yield Curve, CBOT Fives to Tens; 2:1: +$703

    Nymex RBOB Crack; 1:1: +$330

    Nymex Crude Fly; 1:2:1: +$20

    Nymex Nat Gas Fly; 1:2:1: + $170
     
  3. bone

    bone

    Thanks to all for the IMs supporting the forthcoming launch of the SpreadProfessor membership website. Two existing services I really respect belong to Linda Bradford Raschke and Robin Mesche. This is going to be a serious endeavor designed for serious professionals and promising credentialled candidates willing to make a committment to day trading all sorts of spreads. This includes cleared and bilateral OTC, futures, cash, forex, and equity markets.
     
  4. bone do you weigh your equity pairs by the ratios of their cointegration vectors or by something else
     
  5. bone

    bone

    I have no idea what a cointegration vector is.

    I weight equity pairs by currency value, and I weight futures combinations by historical volatility and equalized value correlation. Your clearing firm's risk department or an exchange will also be able to provide cross-margin rates for many popular futures spreads.

    Many of my favorite spreads - intramarkets like NYMEX HO crack vs. ICE GasOil crack, would require some independent creativity on your part. A Bloomberg's beta function makes the exercise easy, but I will show SpreadProfessor website members how to do it for themselves.