Be careful with this though, the settle doesn't mean you could have gotten a fill anywhere near there. The only people standing near expiration are the commercials who *know* you're desperate to get out. They're not going to cut you a break. The Quaker Oat guy is just waiting for your call.
Yes, I noticed the spread got pretty wide as the May contract was getting close to delivery, with very very little volume traded. So, on closer thought I probably wouldn't have gotten a much better fill than the one I got back on April 25th (unless I had a GTC order resting, I probably would have gotten a somewhat better fill). Input on what we can learn from this is certainly welcome, but I won't be putting it on next year
<b>Not to be a party pooper, but it is likely that giving away MRCI trades on this forum is a violation of your agreement with them. If you read the fine print, you probably agreed to not redistribute or publish the trades/results. And the truth is, they might sue you for damages, publishing their proprietary work to which you probably signed away all of your defense and rights. And if you an American citizen, they would most likely win rather easily... And I would urge the admins/moderators to delete this thread, as being the container of illegally republished results damages MRCI's business. They are good people and well respected; this is how they make their living </b>
Please. He has not posted any MRCI copyrighted material. No charts, lists or results. Unless it has become illegal to simply utter "MRCI" and "spread" in the same paragraph, this is hardly illegal. If anything, this thread is free advertising for MRCI. They are well respected, and having their research discussed on sites like ET leads to more customers, not fewer. Now I'm curious what exactly your motive is for crying to the mods and making noise about lawsuits...
I have bough a book - read it, and done my own analysis of it's content. The book's material is not republished here, which would of course be a violation of their copyright. My trades - which is what is being reported here - are NOT on the same entry/exit dates as in their encyclopedia (which is last year's if they update every year). The thought that MRCI has any rights whatsoever to seasonal patterns in the futures markets is crazy. And by the way, I would not hesitate for a second to recommend the site scarrtrading.com where you can do your own research. The ignore function has been put to good use.
The spreads, and timing of dates IS the posted material. And they become part of a permanent public record. I was a subscriber for several years to MRCI, and I am well aware of the agreements. I think you have it backwards, asking why I am concerned about someone causing damage to another person's livelihood. Give away their research, and that is their business. They research & sell the seasonal dates+particular commodity or spread. It is like saying "so whats the big deal if I recopy "Stairway to Heaven" under my own name? Or what if I like your car and decide to take it over to my house for my own use. Or if I start my own advisory service, and resell Goldman-Sachs research? Because they are protected assets.
www.mrci.com is their adress. http://www.amazon.com/Encyclopedia-...4595829?ie=UTF8&s=books&qid=1178861138&sr=8-1 This book is an overview of a substantial amount of strategies for spread trading, but beware that it isn't an introduction which explains concepts and pitfalls - it's a short explanation of each commodity, historical performance of the spreads and a chart of the spread's historical viability.
Today I've entered into the following treasury spread: Long 1 Jun 30-Year T-Bond, Short 1 Jun 2-Year T-Note @ -93.062,50 (I think) My first ever trade in treasuries whatsoever, and I'm a bit uncertain about it as the 2-Year is double the size of the 30-Year. I'm also not sure if I calculated the price right - unfortunately IB didn't allow me to create a proper combo for it. I bought the ZB at 111 6/32 and the ZT was sold at 102'040. Also, judging from CBOTs margin sites I don't get any margin credit since it should have been 1:3. So I'm kind of blindly entering into this spread with faith in statistics really. I'm currently bidding in a spread further out in Soybean Oil, but it might take a few days to get a fill there. Today it's also worth mentioning that an NG trade was to have taken place, but since it's expiry would have been so close to physical delivery that IB would have taken me out prematurely, it is skipped. The trade would have been... Long Dec NG, Short Jul NG and the entry price right now could have been about 1.525.
You don't have to worry about physical delivery in energies unless you fail to cover your position by the last trading day. As long as you get out by 2:30 PM Eastern on the last day, delivery is not an issue in energies. For the NGN7 July contract that day is June 27th (http://www.nymex.com/ng_fut_termin.aspx). I actually like that spread and would expect it to widen....I don't trade a lot of spreads so don't take my word for it that it will, but I thought I would at least let you know how termination and deliveries work for energy. Whether that affects your decision to enter into the trade I don't know...