Double Butterfly spread

Discussion in 'Financial Futures' started by cdcaveman, Aug 18, 2015.

  1. bone

    bone

    Well, with TT it's simple in terms of the exchange spreads order book. And as far as charting goes, eSignal has 7,009 exchange supported spreads listed in their library - including double butterflys.
     
    #21     Sep 3, 2015
    .sigma likes this.
  2. Always appreciate your help...
     
    #22     Sep 3, 2015
  3. bone

    bone

    Well, my apologies for not being able to help more with IB. It is what it is.
     
    #23     Sep 3, 2015
  4. A question I've always had about crude spreads are how does vol factor into a spread... More vol more opportunity right I get that., but am I right in thinking that there is no real vol number on a crude fly.... Obviously going towards expiration the volatility goes up in spreads... So I could never make sense of that... If your in nearer term spreads as oppose to longer term are you short vol in some fashion...

    And the dislocations that happen with the ffront contract.. Is there a way to be long that risk... And what is a threshold to not allow spreads drift past as far as them getting near expiration....
     
    #24     Sep 3, 2015
  5. bone

    bone

    My volatility studies work just fine with charted spreads. Hint - the prompt months are largely spec volume and that driver makes them delta directional with the front month; much more even with a calendar ( pair) spread. You really can't model roll behavior to the degree of likelihood you get farther out in the curve. Long story short and a tip of the hat to you cd caveman: play where the volume is largely commercial / institutional.
     
    #25     Sep 4, 2015
    cdcaveman likes this.
  6. minmike

    minmike

    I don't see double flys quoted for CL on TT. Just regular flys.

    There are multiple ways to get into a double fly. Buy the first and sell the second fly. Buy the widest spread and sell the middle 3 times, ect.
     
    #26     Sep 8, 2015
  7. Thanks...... I was under the impression that I was missing something..... If they were exchange quoted wouldn't there be a close number just like in the flys
     
    #27     Sep 8, 2015
  8. i tried to execute one of these..... i got a "order is not supported" message from IB ....
     
    #28     Sep 25, 2015
  9. londonkid

    londonkid

    IB is not setup for this sort of trading imo. You can swing trade 1,2,4 exchange traded spreads with them but if you want to do more legs/synthetic/shorter term then you need TT/CQG/CTS. I am guessing most traders trading double flys (box spreads) will have a decent front end, and very low round trip costs. You would prob want to try and leg in on 2 flys, or even build it from 4 calendars. Leaning on the back leg price to try and get a better fill. You could try and use an autospreader but I think if you get a fill on the autospreader it means you just got shafted on the legs.
     
    #29     Sep 25, 2015
    i960 and cdcaveman like this.
  10. bone

    bone

    Do NOT leg individual spread component products - you'll get f****d. Better to use exchange supported calendars and butterflies to leg into things like condors and double butterflies and such. Your slippage and risk will be greatly reduced.
     
    #30     Sep 25, 2015
    londonkid likes this.