Futures Spread Trading

Discussion in 'Strategy Development' started by cml2949, Dec 1, 2006.

  1. cml2949


    Hi, I spread trade 5-10 year notes.. I do the Big and Mini Gold... There is the Spu/Dow spread as well as the ZG/GLD trade.. I do the rolls between different calendar months in the bonds..

    I'm curious and interested in knowing what other highly correlated spread trades are out there you traders like?!?

    Thanks in advance ..

  2. basis


    How are you doing big and mini gold?
  3. cml2949


    I buy and sell to take advantage of the slightly difference in prices through a system... and you?
  4. I have never "spread traded" and I have no clue how to do it.....sounds interesting.
  5. rosy2


    can you even cover commisions if you trade big/mini gold futures?

    i am interested in knowing how you spread ZG/GLD. Doesn't GLD have a monthly fee?

    Why do you use GLD instead of spot gold?

    Also what's the difference between a ZG/GLD spread and a futures calendar spread?
  6. cml2949


    Sp trading is interesting, but I really don't know jack about it.. It's just buying in one market and selling in another market or buying in one contract month and selling in another contract month to keep it simple. Once you lock in the profit of the different in prices of the two markets, you must do the opposite to get out of spreads that are not fungible.. Fungible markets allow the spreads to expire b/c they cancel each other out.. Some markets are highly correlated, however are not fungible so you would have to get out of the spread position or take delivery of the product I believe..
  7. cml2949


    anyone have any interesting sp trades to share.. trust me I'm no threat to your trade, just looking for different ideas that may lead to others..

  8. jheacock


    I have recently spoke with a firm that specializes in spread trading US Treasury Bonds, US Treasury Futures, Eurodollar futures, & German debt securites. I don't know much about this type of trading. I read somewhere that spreaders were getting killed right now. Is that true and does anybody know if this is a type of trading worth learning?
  9. E R

    E R

    There are others on here that should be able to give you much more insight.

    But, to answer your question about whether it's worth it, I would say so. I have been trading eurodollar spreads for several years now (along with other occasional spreads in the ags), and it is a pretty stable, consistent way to trade. There are a lot of combinations, and the volatility is pretty well capped (and so are your equity swings if you manage money right).

    Here are a couple of places to learn more about spreads and do spread research:
    1) www.mrci.com
    2) www.scarrtrading.com

    Also, do some searches for discussions on here, and look up joe ross and his websites--lot of spread trading information there too.

    Note--I am not affiliated with any of these websites or services.

    Good luck!
  10. i've been spread trading german debt futures on eurex for 5 yrs.

    it's ridiculously difficult now.

    in fact i have been trying to switch and start trading outrights for the last three or four months - mostly in the bund.

    still trying to get out of the mindset of a spreader...which is hard...but outrights are a much "cleaner" way to trade imo.
    #10     Dec 13, 2006