Future Spread Trading

There is no position for Thursday, April 23. Still holding cash.

 

Positions for Friday, April 24:

100% long in MNQ (NASDAQ 100), 100% short in MYM (Dow Jones).

 

so +2/-3 ratio?

 

That's right.

 

trying on sim ...but how do I decide to go long spread or short spread!

 

Friday, April 24:

MNQ is up 1.95%, MYM is up 1.35%, so the spread trading makes 2x(1.95%-1.35%)=1.2%.
Nice and safe profit.

So this week's profit is 3%-0.1%+1.2%=4.1%.

There is no position for next Monday. Holding cash again. Market is likely to drop in next two days.

 

This is going to blow up in your face when the two diverge in opposite directions, which has happened a few times in the past few earnings seasons. Use caution.

 

For Tuesday, April 28:

100% Long in MNQ, 50% short in MYM, 50% short in M2K.

 

Trying to understand why 3 legs? Short is made up of DJ and Russell
What would be the reason for not doing just MNQ/MYM
Also with such a spread do you get cross margin relief?

 

Any cross will get margin offset. The leverage is only 2x on one side, so the margin is always not an issue.