spread trading indicies

Discussion in 'Index Futures' started by traderjb, Oct 20, 2008.

  1. Just out of curiosity, has anyone spread traded any of the indices, say Spoo and the Nas 100? How about between months of the S&P 500, say shorting or going long one month and doing the opposite of the other? I've had some success doing a spread between the ES and the NQs, but haven't done anything between say ESZ8 and ESH9.
  2. There is no point spreading unless you have some basis for outperformance. If you think tech will outperform the general market, than you go long NQ and short another index like SP.

    I don't think shorting a market index against itself will have much value. You do that for something like grains or energies, when you think that the market will take some action at some time.

    But spreading for the sake of it has no value.

  3. That's WRONG! Doing calendar spreads with financial contracts is tremendous if you can properly anticipate dividend and interest rate policy changes. The potential rates of return are huge because the margins are generally quite "low". :cool:
  4. I've asked and asked...no one seems to want to discuss it...great possibilities abound for:


  5. I have to agree with you here. The ES/NQ spread trade has been very good to me! :)
  6. Isn't that what I said???

    There is no point spreading unless you have some basis for outperformance.

    "properly anticipating" is an EDGE. Then it makes sense. Again, random spreading without an edge has no value
  7. I think you should be able to get something out of ES/NQ or other spreads. It would be worth looking at other correlated indicies on EUREX and others as well.

    I would be surprised if it was worth the trouble to trade ESZ8 vs. ESH9. I have been surprised before though.

    You should be able to get some idea of the opportunity in it by looking at the range over some period of time and assuming you can get x% out of the range. I cant imagine that its worth the hassle & you could cover costs though.

  8. seriously???...how do you trade this?...which contract long and which short?...1Es-1NQ or 1ES-2NQ???
  9. In terms of ratios, I go by the margin credits put forth by the CME, which you can see from the link below. I've constructed spread charts using the front-month ES and NQ or the cash versions, there are some trends to catch on a medium-term and long term periods. Below is also a picture of a chart I've used. You get an 85% discount on the margin for the spreads, of course that could be different for your broker.

    Margin for Index Spreads

  10. Where do you find information on the multiplier that you would use to multiply the price of each contract to get the price of the spread to look right on a chart. Or do you not use a multiplier and just subtract the prices themselves.

    #10     Oct 28, 2008