Rodney King: I take your point and in fact it is self-evident. It's possible that you're missing my point, however. By design, I do not try to time the market or pick tops and bottoms. My personal preference is to give up some trading range (profit target potential) in exchange for more decisive signal confirmation. I make that compromise because for me and my clients the strategy most certainly reduces risk. It's a backtested and thoroughly confirmed fact for us. I'm not saying it's a universal dictum, but for us and the way we trade it is an absolute. No such thing as 'risk-free' profits. Anywhere in life. But we can make a series of calculated decisions (and compromises) to increase the risk/reward skew.
We are just not taking many Crude Oil calendar spread trades past several months. Much more action in the crack spreads. The daily trading ranges just blow. Basically, it has become much more of a swing trade - still models very well, but it just doesn't justify the slippage to get into and out of it every day just for the sake of going home flat. There should be some action after hurricane season winds down, but it sure would be nice to break out of this trading range so that the commercial strips have to adjust their forward curve positions.
Been getting out of my short Sep-Nov today. Average price on the buyback about -1.08. 0.18 cents per spread. How bout that build!
You must have legged out getting a couple extra cents on these...I didn't see 1.08's being doable today?
Guys I've been trading CL outright, but been trying to get in the spread trading for numerous reasons, for swing positions, my questions can someone guide of usually what is the behavior of Contango in the CL intra month spread in for this months, and usually when it tends to peak and when it tends to go to backwardation. I've been trying to find historiacal data of the intra monht spread, but it almost impossible to find it. Thanks.
We are effectively swing trading the spread, with an average daily trading range of about 7 tics or so it just doesn't make sense to trade it on a higher frequency. For me, at least, contango and backwardation is more a phenomenom than a tradeable event per se. We use models that account for it.
I hope you don't mind my question, but what you base your trade on Technical Analysis or fundamentals?......and how is the volatility in a regular day on CL spread? Thanks for your help.
My trading system uses statistical correlations and technical studies. With 18 years of tuning. Good models will account for fundamental price action, and from a spec standpoint you don't want to take a position until price action warrants it - you'll run out of bullets long before. IMO, fundamentals are reflected in price exactly when you need to take your entry signal.
I am finally going to get paid on the short side of these CL spreads today. I've been accumulating Oct-Dec gradually over the past few weeks around the -1.10 level. I'll be looking to buy some back today on this weakness.