I know there have been some threads on this, but they all seem to be dead. I just wanted to share my experience trading these for the first time today. It was suggested on another thread that I might want to try SSF to deal with some trouble I was having shorting KLAC (thanks hii), so today I gave it a shot. I traded AMAT and NVLS - these were my impressions: Fills when buying at the offer or selling at the bid were immediate. Bids and offers between the spread were displayed immediately. There were usually 20 contracts per side (I was trading 2 or 4). The spread was about .08 or more most of the time. If it weren't for the big spread, these would be perfect. No down tick rule, better margin, immediate fills, and plenty of liquidity for me. Unfortunately, the spread is too big for me. I trade pairs, so it appears that the spreads will be prohibitive. If some of you guys will start trading them maybe we can get the spreads tightened up. I was going to try some listed stocks too - MER and MWD, but the spreads were too big. This would be a good way to get a short off when the spec is being a jerk though. I will watch some more, maybe when the spec spreads out the futures won't look too bad. Anyway, if the spreads tighten up, these will be awesome.
I believe the spreads are something you can easily conquer. What I found was that if I place an order between the spreads, it usually would get executed within a minute or so. The bids and asks whipped around alot, at least on the QLGC I was trading. I wrote all about it in the thread I Done Bought Me a SSF! this week. Unfortunately, I done bought me two more this morning, when I shoulda done solded them. At least I don't have to worry as I would with options about the time-decay over the weekend. And options, before decimalization, used to have 1/8 spreads, or even 1/4. Which is 12½¢. So I don't mind the 8¢ spreads. Honestly, if you place your orders 2 or 3 cents better than the bid or ask, you'll most likely get quickly filled at your price. I actually saw AMAT SSF today briefly, and the spreads when I was looking at it were only 3 or 4 cents. That was on NQLX.
I read your other thread, thanks for the info. I think you would be right about the spreads of I didn't trade pairs the way I do. It is important for me the fill the second leg of the spread as soon as the first leg fills. So, I can wait for the first fill, but I have to take the second fill immediately. This resulted in me starting about .10 down from where I would have been on the stock - this is quite a bit for me. You may have looked at AMAT when I was on the inside - it was actually .01 at times while I was waiting to be filled. Anyway, I will keep watching them. Other than the spread, they were great.
With pairs are you buying one as you sell the other? You know if you buy and sell the same stock using different months, your margin is actually 40:1.
Normal SSF margin is 5:1 (20% maintenance). If you are market neutral by buying a SSF on a stock while selling a SSF on the same stock but with different expiration month, the margin required for the pair of positions is only 5%. That's 2½% per contract = 40:1.
Thanks bro. Kinda figured it was something like that... my background is options /equities.... so just now getting acquainted with futures leverage/pricing/margins... ... appreciate the assist.
In this case I am buying AMAT and selling NVLS or opposite. Yes, as soon as I get a fill on the first leg, I fill the second. If you own a February future and sell a March future, I don't see how that is any different than just selling the February future - unless you are arbing an inefficiency between the two months.