Spreads in the Softs

Discussion in 'Commodity Futures' started by stoic, Jan 18, 2013.

  1. stoic


    OJ Jan. 2013 vs. May 2013
  2. bone

    bone ET Sponsor

    I am curious why you have a tendency to look at spread combinations where the front month is fairly deep into the roll ?

    You posted this on Jan 18, and according to ICE, the last trading day is specified as Jan 10.

    Just an observation. I've noticed this tendency on some of your other posts as well. From my experience, there is so much more to calendar spreads than the front month roll.
  3. drm7


    I imagine that back month liquidity would be challenging, but I haven't looked at the data, either.
  4. now we are finally getting somewhere


    time decay


    very simple

    easy to remember
  5. stoic



    Yes.... I posted the on Jan. 18th, the last trading day was Jan. 10th...... so the spread ended on the 10th at the latest.

    Has nothing to do with the roll. Now that the 2013 spread is ended, I start traking at the 2014.........duh....
  6. bone

    bone ET Sponsor

    Well, FCOJ-A had 1,130 total volume and March is the front month, so in OJ you would be correct. But for so many other commodities, even in the softs, there is plenty of liquidity further out in the curve. And I personally prefer that playground myself because the spec volume is pretty well concentrated in the front month and I would rather trade with the commercials.
  7. bone

    bone ET Sponsor

    What are you "traking" ? We all know that the Dukes cornered the market and that FCOJ is a pure weather play and that Brazilian production is a big driver worldwide and that Jan is a winter month and that May is a spring month.
  8. stoic


    Is this a typical response from the "spread professor"