Seasonal spreads

Discussion in 'Journals' started by hrokling, Apr 23, 2007.

  1. Yes, I know it's possible to trade into the last trading day - unfortunately I'm using IB which don't allow you to sit with the position from 2 days prior to the First Notice date. I don't want to go through the hassle of finding a broker that allows trading this close to delivery and handle everything electronically - I'm sure it's possible.
    #31     May 14, 2007
  2. Actually, NYMEX miNY Natural Gas - QG - is financially settled, so it could be possible to put the spread on like this. Unfortunately further out there's absolutely zero volume and noone is even bothering to marketmake it electronically :(
    #32     May 14, 2007
  3. PJKIII, I stand corrected!!

    Looking up First Notice Day on Natural Gas I discover that it's actually after the last trading day, unlike my experience with Oats if you read further back in the journal. This means that I should have absolutely no problems at all with IB.

    So, I'm right now bidding that NG-spread at 1.525 hoping to get a fill. Judging from the volatility of the chart this should be quite a volatile ride, so I'm looking forward to the added excitement this will bring :)
    #33     May 14, 2007
  4. Is this NG spread the one that killed Amaranth last year? I noticed every year is a winner except 2006, when it lost *BIG*. :)
    #34     May 14, 2007
  5. FullyArticulate, that really put a smile on my face :D
    #35     May 15, 2007
  6. After moving my limit order up along the rally in the NG-spread, I got filled as it turned south again:

    Long 1 Dec Natural Gas, Short 1 Jul Natural Gas @ 1.59

    This violated my entry rule on the spread, which was Precise, so this is very poor execution on my behalf - and a costly mistake.

    This spread is quite volatile compared to the others, if I had bought in when I should have the position would have had an open profit of 1000 usd at one point and then be back to zero again today. But with my poor entry it's down 500 usd. This spread will certainly affect the account more than a ZM or ZL spread of 1 or 2 contracts - but the account isn't large enough to allow for proper position sizing.

    I stil have a ZL-spread limit order working, and then there's more new positions to enter next week. Summer in general is a pretty busy period, so all through June, July and August there will be a lot of entries and exits.
    #36     May 17, 2007
  7. I've entered into the following Cocoa-spread on NYBOT-contracts:
    Long 1 Mar Cocoa, Short 1 Jul Cocoa @ 65

    IB isn't offering the spread as a combo, so I cannot chart it or enter with limits order - I had to leg in, and I think that cost me a few ticks. And I'm also wondering what the chart of this spread looks like.

    Other than that I actually have five more spreads being bid right now, so more trades can pour in at any time.

    Looking at open positions, it's definitely the negative movement in the 30-Year vs the 2-Year which is most disappointing to me. I'm going to close it at the end of the week, should be interesting to see the movements until then. All in all it's been the seasonals in US govt debt which I've doubted the most, so it's not a big surprise really - although it's done well historically.

    I have a spread in Natural Gas which I'm going to skip, just because it's going to be quite correlated to the Long Dec, Short Jul I already have open. If the account was larger I would have diversified between these two, but now I'll just stick to the one I've got. The position would have been Long Jan, Short Sep.
    #37     May 21, 2007
  8. I just got filled in Unleaded Gasoline:

    Long 1 Dec Unleaded Reg, Short 1 Aug Unleaded Reg @ -0.3480
    #38     May 21, 2007
  9. Another trade entered:

    Long 2 Aug Soybeans, Short 2 Mar Soybeans @ -36 1/4
    #39     May 21, 2007
  10. And to round it all off:

    Long 1 Aug Soybean Meal, Short 1 Mar Soybean Meal @ -9.00
    #40     May 21, 2007