Spread Trading

Discussion in 'Financial Futures' started by wavetrader, Apr 30, 2003.

  1. Gee that’s funny, we were just talking down on the Baywatch set and nobody heard of anyone named “bone!”
    [​IMG]
     
    #51     May 30, 2003
  2. nitro

    nitro

    Pretzel,

    AFAIK, there aren't really any good books that describes how a REAL trader might use these things - only institutions.

    As bone mentioned in a previous post, the exchanges have a lot of information on their sites about it. Since I live about 15 minutes by car to the MERC/CBOT/CBOE, I am looking into expanding my horizons a bit by looking into taking classes at one of the exchanges - this stuff is so much easier learned by talking to a person than by reading a canned book.

    If I run into anything useful that isn't proprietary, I will try to pass it along.

    nitro
     
    #52     May 30, 2003
  3. Nitro,

    I'm available to talk about spreads in person. What do you want to know.

    Backwardation
     
    #53     May 31, 2003
  4. bone

    bone

    Whether or not I am actually hedged or not depends on my confidence in terms of flat-price directionality... but I am always trading off of correlations and spread levels in terms of relative strength and weakness.
     
    #54     May 31, 2003
  5. nitro

    nitro

    Backwards,

    That is a very generous offer - I think you might be qualified to give one of those talks on Elitetrader on this kind of trading!

    What do I want know? Where do I start? You see, the extent of my experience with this type of trading is statistical arbitrage, i.e., Pairs trading.

    I remember asking you if you would give an example of the trades you do. You mentioned that you trades are longer term and that you would let me know when you had establised a postion. One or two good examples of a trade being considered BEFORE HAND and then following along with you realtime IF the trade is establised is probably all I "need."

    nitro
     
    #55     Jun 1, 2003
  6. AllenW

    AllenW

    Hi,

    I have been looking into spreads as a result (in part) of this thread and have found info. to be sparse. My feed can't do intraday charts and that is my current interest---could I ask a favor?

    Could someone put together the June-Sept., 60 min. spread for the DJ ($10) and the SP($250)? You can either post it or PM me.

    Anyone trade these? Are the tradable on the intraday basis?

    Thank You--with Respect,

    Allen
     
    #56     Jun 2, 2003
  7. nitro

    nitro

    I am not sure what you want, but if you are looking to spread the Dow Jones and the spoos, then go here:

    http://www.futuresource.com/premium/ifs/charts.asp

    On the Contract on the left, type in

    DJIAY - ESM3

    That will give you that spread.

    nitro
     
    #57     Jun 3, 2003
  8. I second nitro's suggestion for an ET chat on spreads featuring backwardation....I think that would be very helpful for all of us who are interested in learning more.

    Nitro,

    What are some good ways to learn stat arb? All the models I've looked at, I've found holes in. Is there a recommended resource?

    Thanks,

    mike d.
     
    #58     Jun 3, 2003
  9. AllenW

    AllenW

    Hi,

    I'm looking for 60 min. calendar( Jun-Sept) spreads for the individual contracts--Dow Jones and big S&P.

    It seems there is a tradable range there but I'm not sure if it can be exploited off-floor.

    Allen
     
    #59     Jun 3, 2003
  10. AllenW

    AllenW

    Thank You!

    The FutureSource charts did the trick--much appreciated.

    Allen
     
    #60     Jun 3, 2003