Seasonal spreads

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

  1. kahai


    I am glad I stumbled on your thread and it caused me to subscribe to mrci and I hope to learn and study along their suggestions and I intend to trade their strategies as outlined in their weekly commentary as long as it is possible to enter it through Interactive Brokers. It will be interesting to compare results at the end of the year, assuming I can stick with it that long. In addition I might subscribe to some other advisory services.

    As a friendly side note: You mentioned that IB's Combo does not support the Cocoa calendar spread. I tried it and when I entered in the Exchange Box NYMEX rather than nybot or SMART it worked.

    Also if I may make a suggestion: When you post the trades, could you please enter also the contract year like:
    CC March 08/July 07 @65
    because I got it wrong the first time.

    Keep up the good work
    #41     May 24, 2007
  2. Thanks kahai, I'll adopt your suggestion on how to post the trades straight away.

    I hope you'll enjoy MRCIs service, I haven't subscribed to it but am certain it does a good job at selecting upcoming seasonal trades to put on. I'll probably also subscribe to their service once I get further into my seasonal trading experiment - right now I'm testing the waters with a small account, as my main focus is with stocks.

    Regarding Cocoa, I also got it to work on the Nymex Cocoa contract - but for liquidity (and spread) reasons I wanted to own NYBOT contracts (so I legged in).
    #42     May 29, 2007
  3. kahai


    Thanks for the reply hrokling.
    It might be a dumb question, but does that mean you sent the CC order to the floor through IB (I have never done that so far) and if so do you get good and fast execution? Did you subscribe to their floor based market data? If one enters a spread electronically can one exit through a floor order and vice versa?

    Sorry for all the question, take your time, I know you are busy with your stock trading.

    It seems so far I have beginners luck with mcri. I entered 3 spreads electronically and one, the CAD Sept. 07/ AUD Sept. 07, which by the way I entered prematurely on 5/23 versus the suggested 5/25 date shows presently a profit of about $1,300. Now comes the difficult part: taking profit or letting it run till the suggested 6/28 date, the average profit for the last 15 years was $1,423. For the time being I try to be disciplined and let it run.

    Good luck to you too.
    #43     May 29, 2007
  4. I exited the losing bond trade:

    Sold 1 Jun 07 ZB 30-Year T-Bonds, Bought 1 Jun 07 ZT T-Notes @ 109 9/32 and 101.8828125, equal to a spread price of -94.484,375 - CLOSED - LOSS 1.428,875

    What to learn from this? I'm not sure. But the seasonal tendency sure didn't work this year. I haven't had time to research whether other possible seasonal trades would have been more favourable, but this sure is a topic to inspect closer.

    On May 25th I had planned to enter the following spread:

    Buy 1 Jul 08 HO Heating Oil #2, Sell 1 Jul 08 RB Unleaded Reg @ about -0,3635

    I skipped it due to my exposure with both a Natural Gas and Unleaded Gasoline spread on already, as my exposure to (volatile) energies would be pretty big for my account size.

    Speaking of that, these two spreads are pulling me in deep blue at the moment - although they're quite volatile.

    The journal has been running for more than a month now, but since it's been mainly putting positions on and not many closings I'll put off creating an overview of how all the positions are doing. I'll probably do this on July 1st.
    #44     May 29, 2007
  5. The NYBOT agricultural futures are traded electronically on the InterContinentalExchange (ICE -, so they're pretty liquid actually. Try messing around in the TWS and you'll probably get it to work too.

    I am pretty sure the contracts are fungible when it comes to electronic and pit traded, so yes you could enter on ICE and exit on NYBOTs floor (in theory). I'm not sure though if IB offers pit trading.

    Since I'm in Europe my stock trading has ended for the day :)

    Best of luck to you too! Good to hear that MRCIs trades are working out for you. I decided to skip the currency seasonals alltogether, as I just didn't feel too comfortable about them and their effect. And I know that feeling well, the RB spread I entered was up $1.500 after a day or so, then sent me to -$500 and is now at time of writing +$2.000. But since this is an experiment, I just have to let it run until June 25th which is my exit date. And the same with the bond trade which was clearly heading towards disaster in the short period of just over a week.
    #45     May 29, 2007
  6. I took a small position in Eurodollars today:

    Long 1 Mar 08 GE Eurodollars, Short 1 Sep 07 GE Eurodollars @ 0.160

    If you look at the chart of this spread it's still in a long downtrend. I'm initiating the first contract now, but plan to add a few more contracts once I see anything looking like a bottom.

    The holding period for this is close to expiry, so there's no rush.
    #46     May 30, 2007


    See this one is going your way now...should be in the money by 9 cents or so at time of writing and looks like it was +18 cents at one point in the past few days--not bad...
    #47     May 30, 2007
  8. Yes, the energy trades are compensating for the terrible bond trade I had. So far the experiment is going along in an acceptible way I think, but the position sizing between the various trades is very off and not something I've put much energy into since the account isn't big enough to do it properly anyway.
    #48     May 30, 2007
  9. kahai


    Today I tried an experiment. I subscribed to the CME market data with IB to see if an order sent to the floor would get a better execution than electronically. The order according to MCRI's suggestion was:

    Calendar Spread HE Oct. 07/ Feb. 08

    which MCRI hypothetically had entered on 5/29 @ -.365
    Electronically I placed the spread order @ -.350 and tried to leg into the floor order (apparently IB does not accept calendar spreads sent to the floor) by first placing the low volume leg which I had to find out from the electronic market data since floor market data do not show volume - another disappointment. The electronic order was executed first so I cancelled the floor order for the one leg only to find out 20 minutes later that the floor order had been executed. I finally was able to place the second leg electronically and thankfully got the same spread price @-.350

    Now, can anybody tell me if and when there is an advantage to send the order to the floor with Interactive Brokers?
    #49     Jun 1, 2007
  10. Unfortunately I don't know much about pit orders, although I'm pretty sure that you can give them spread orders. But maybe IB cannot relay a spread order to the floor?

    My Eurodollar-trade is continuing the downtrend, and in a couple of days it's down more than 200 dollars. I'll keep watching this to see if the trend bottoms, but it does seem like the money markets are not following seasonal trends this year. Next week I don't have any trades planned - June 11th is when I'll put the next one on.
    #50     Jun 1, 2007