I was trying to manipulate the spread between the front and back months on the ES yesterday and it worked out reasonably well. Can someone explain to me why pushing down the back month price while pushing up the front month worked out far more often for me (net profit wise as well as %-wise) then pushing the front month down while back month up? Overall both strategies yielded rather impressive results as long as I was quick to exit partially and then fully within a short range. Lastly, I am aware that the june contract expires on friday, and that volume is slowly going to get less and less until then, but I'm wondering at what point am I likely to experience more losses using above strategy? I have a strategy I'm wanting to test out in real time for the week, especially on friday in the last 10 minutes before the close .... is volume likely to be extremely low by then? thanks!
the market went up since mar so a lot of baskets were bought and spus sold against them, so if they want to stay long the stock and short the spu they have to buy the junes back,push them up, and sell the sep spus, push them down,don't know if that's right since i don't trade the baskets but it makes sense. The strategy u used is done ,it's not likely to be successful into next week . Thats the arbitrage done in the 2nd week of the quarterly exp of the spus and u can look at it again in september