CL: calendar spreads more liquid than outrights,why?

Discussion in 'Commodity Futures' started by Marsupilami, Jan 26, 2011.

  1. local

    local

    Bone,

    You have chosen to to use ET as a forum to solicit business. Doing so brings with it the responsibility of being accountable for your posts. If you choose to neglect those responsibilities by deflecting questions and or calling into question the qualifications of others, it only serves to send put up a red flag,

    Regards, local
     
    #31     Jan 31, 2011
  2. This might be a silly question, but just to clarify are we talking about a wide inter-month spread during the contract term that's trading beyond full carry and/or about convergence to spot upon expiration?

    Seems like they tend to go hand in hand and the issue is both, although I'm not sure.
     
    #32     Jan 31, 2011
  3. ixus

    ixus

    Funny, I was talking to a fellow trader with 10+ years experience and he was of the opinion that CL contract may become obsolete.
     
    #33     Feb 1, 2011
  4. bone

    bone

    Might be tough to find a replacement for CL in terms of liquidity - CL volume today was 919,641 and open interest is 1,514,230.

    Not counting the ClearPort and ICE Swaps volume.

    The problem with the contract in terms of hedging is the fungibility into the Cushing delivery spec. It is certainly an imperfect contract in that regard, but of course the start-up success for new futures contracts is really poor. The Dubai contract is fantastic in theory, never has really been able to attract the liquidity.
     
    #34     Feb 1, 2011
  5. I checked: that was the then front spread, occurred on 12/19/2008, -$8.49

    and then on 1/16/09, -6.06
    on 2/6/09, -5.98
     
    #35     Feb 8, 2011