seriously, dont try doing this unless you are paying under a dollar in comissions on a trade. I know several teams trading flys in the brent and cl markets and essentially just collect the monthly commission rebates, very little edge trying to take a tick in a market that moves 6 ticks in a day and it costs you half a tick to put it on
[/B][/QUOTE] I view calendar spreads ONLY as a temporary hedge... 90% of the ballgame is the SIZE of the June spread... I trade stocks with decent spreads ($0.03-$0.05) all day long... So I know exactly how much of the spread I capture. And dabbling in Forex/futures... I cannot believe how large that CL June spread is... It must average 2 ticks by day... 4 ticks off-hours... You can be flipping for 5 ticks 100 times/day in your sleep... And in that 5 ticks is a big chunk of that spread. A key is learning enough about this niche... To avoid obvious points of volatility. I have decent Custom HFT infrastructure... My problem is what to Automate next... Where to allocate the next 100 hours of programming time... That's what I mean by "resources". [/B][/QUOTE] Been watching the CL June spread. Since the open its been a 1 point market the whole time and the volume is low. As of 10:16 (Eastern time) volume =3864, bid -97 ask -96. Doesnt appear that theres much money in market making here. maybe different market feel on different days
yes there are tradeable options you'll see them on the cme website though not much info on there they are pit traded. Crack spread options are thinly traded so you might have to pay up
I"m not sure I know or have access to how to look this up. What is the widest the nearby crude spread has traded historically? I see we are out to about 3.30 this morning on the H/J. I'm sure it's been wider than this, but for context, I would be curious what others have seen over the years.
In late 2008 we got -9.50 on the nearby intra-month spread as I remember. And the June or July vs December of that year trade between -24.00 / -26.00
Here are the CL June stats for the week of Feb 7, 2011... Hour, Data Points, Average Bid Size, Average SPREAD, Average Ask Size 0...... 0........0.0..... 0.0..... 0.0 1...... 1358.... 3.9..... 5.3..... 3.9 2...... 5337.... 3.0..... 4.9..... 3.0 3...... 10263....3.3..... 4.4..... 3.3 4...... 9722.... 4.6..... 5.0..... 4.6 5...... 12178....8.5..... 5.0..... 8.5 6...... 10040....3.9..... 3.5..... 3.9 7...... 17621....3.6..... 3.6..... 3.6 8...... 50028....4.9..... 3.4..... 4.9 9...... 76068....6.7..... 3.0..... 6.7 10......80002....7.5..... 2.1..... 7.5 11......80256....6.6..... 3.2..... 6.6 12......62078....7.6..... 2.0..... 7.6 13......55793....6.6..... 1.7..... 6.6 14......56004....7.4..... 2.9..... 7.4 15......22383....5.5..... 2.8..... 5.5 16......14412....4.4..... 4.2..... 4.4 17......0........0.0..... 0.0..... 0.0 18......2598.... 1.5..... 8.1......1.5 19......2194.... 2.3..... 5.2..... 2.3 20......3552.... 3.1..... 5.4..... 3.1 21......7319.... 2.4..... 5.5..... 2.4 22......5732.... 2.9..... 5.8..... 2.9 23......6637.... 3.3..... 5.7..... 3.3 This is from IB's feed, data point = any change... So close to 100K data points for each hour slot... For example, 14 = 14:00-15:00, Ave Spread = 2.9 ticks... The midnight hour and 17:00 are set to zero, bad data. The average SPREAD between 9:00 and 16:00 = 2.5 ticks... That is like a liquid stock with a bid/ask of 90.00-90.25 There's def money to be made here... But you need quality infrastructure like CGQ... Plus some quality custom programming with their API... All designed and run by an experienced Quant... Forget about manual, just give you a headache.