CL Spreads

Discussion in 'Commodity Futures' started by shep1487, May 21, 2010.

  1. bone

    bone

    Of course, I covered my short in the Oct-Nov Crude Cal yesterday at 8:30 am and somebody comes in at 7:09 am this morning and sells 4,251 cars from -120 to -125
     
    #61     Aug 27, 2010
  2. local

    local

    Nice trade, but what made you exit ?

    Regards, local
     
    #62     Aug 31, 2010
  3. bone

    bone

    It was a previously set swing low - wasn't going to be a pig, just setting an achievable short term goal. Generally speaking I want to get taken out by either the stop or the target and move on to the next trade.

    Hopefully this spread will pick up in vol - natty, I'm afraid, looks dead to rights until supply or weather gets interesting.
     
    #63     Aug 31, 2010
  4. drm7

    drm7

    How can you do such large volume on spreads? Do you scale in orders, or just accept a bit of slippage on longer-term trades? WTI Crude is very liquid, but Natural Gas and RBOB is less so. I see less than 10 contract orders pushing the price by a couple of ticks during slower periods.
     
    #64     Sep 15, 2010
  5. bone

    bone

    Oh, the exchange-supported calendar spreads are a few to several hundred contracts up typically. You can get alot done there. When I want to do flys or condors I am using the autospreader to do multiple spreads against each other. Great fun.
     
    #65     Sep 15, 2010
  6. valhalla

    valhalla

    Does anyone here trade the calender spread intraday? Ive got a decent set of indicators that have worked on other spreads AUD-YM. Slippage was a problem though with bid/ask. Curious to here if CL spreads are tradeable intraday?
     
    #66     Sep 17, 2010
  7. bone

    bone

    Great question. I used to day-trade them extensively for size from Spring 2009 and back because the trading ranges were so substantial.

    I still trade the CL spreads extensively, as do my clients, but we are typically swing-trading them for 2 or 3 day time horizons. The SPAN spread credit margin is quite favorable.
     
    #67     Sep 17, 2010
  8. drm7

    drm7

    Just to be clear, are you referring to futures calendar spreads or options on futures? Why does a 2-3 day swing offer a better risk/reward right now?

    Also, are there any spreads that are currently favorable for day-trading? (3-2-1 NYMEX crack?)
     
    #68     Sep 17, 2010
  9. bone

    bone

    Exchange supported futures spreads. They are executed as one price and are internally matched by the exchange's order matching engine. Once executed, your platform fill window and indeed your statement will show two months and two leg prices.

    In my opinion exchange-supported implied spreads are one of the best things ever invented. Superb.

    Nymex Crude Oil Oct-Nov Calendar Spread:

    [​IMG]

    Nymex RBOB Gasoline Crack Spread:

    [​IMG]

    These are remarkable instruments of warfare, and have been putting steady coin in the bank for several years - week in and week out. Love them long time.
     
    #69     Sep 17, 2010
  10. valhalla

    valhalla

    Hi Bone, aren't the active months right now November and December?
     
    #70     Sep 17, 2010