calendar trading the indexes

Discussion in 'Index Futures' started by traderjb, Jun 24, 2009.

  1. Curious, does anyone ever try and do a calendar trade with any of the index futures? Say long/short ES front month, long/short the next one? Is that even doable with ES, YM or NQ? Or only the big contract (SP) ?? Hold the position for at most a few days. The margins seem reasonable. When I put, for example ES U9 and ES Z9 on a chart, there isn't that much movement, but there seems at times to be some. I know they ain't killer moves.

    Just curious.
  2. 1) It works "best" when the Fed is on an aggressive tightening or easing cycle which affects the interest rate component of the spread.
    2) There can be opportunity with the dividend payouts on the larger-cap stocks in the index.
    3) You may be able to pick off some "free money" during the quarterly rollovers.
    4) Don't get too carried away with your position size where the initial margin appears to be "low". :cool:
  3. You know, I was wondering about the number of positions and that "low" margin as well. One could easily get carried away.