mav...thanks for the previous reply regarding the brent hours...i remember seeing fish's video from topstep and he seemed to look to trade us energies after the brent close so wasnt sure what you thought of his logic regarding cracks any advice on how to manage the data with the different expiries for products as it compares to crude? are you managing the data for all the outrites and then look to position in the cracks...i.e. bias short heat and bias neutral for cl then look to position short in the heat crack also ever look at something like CL dec13-dec14 or dec14-dec15 as a decent proxy for CL?... i was thnking it has no roll/expiry effect, decent volume, and one could track/trade for a good 6-9months w/out roll over
I don't want to go into details regarding the cracks. Just stick to the principles of apples to apples. When you go out on the curve make sure you understand that you are trading less of the outright and more of something else. It's usually a delivery market so you really are betting on transportation costs, storage costs, insurance costs, etc. Especially those Dec calendars. The front month is the best for product value because the front month is where you "force" delivery. Anybody can skew value far out on the curve but if you make them deliver tomorrow, the product will return back to fair value really really fast. Delivery is the mechanism that creates price discovery. Otherwise far enough out on the curve is like trading TSLA. You know TSLA is worth $30 a share but it may go to $400 over the short term because of momentum. Well if you made long TSLA share holders actually purchase a TSLA at the price they were paying for the stock times some multiplier, I guarantee you would see TSLA revert to a lower price much faster.
Hi Mav, is there a specific reason that you follow TBT in addition to the bond futures (i.e. ZB, ZN, ZF) themselves? I'd guess the latter contain all relevant information. Is it because of possibly different A up/down levels due to the different trading hours of TBT (ETF) vs. bonds (futures)?
Good question. As I've mentioned a lot on here, whenever I look at data I most prefer to analyze data in similar environments for comparison purposes. It's the same reason I track USO along with CL futures. So since TBT has the same market structure as equities, it makes it easier for me to compare the performance of TBT alongside other risk assets using the same start times and the same volatility parameters.
Monthly A down in the ES around 1655. Looks like we are going to test that. QTR A down around 1633. Japan is cracking first. Took out the monthly A down today and the Yen is now sitting right at the monthly A down. Meanwhile Copper and Oil hold their bids and the Peso does not look terribly concerned. The Peso has been a great directional tell for risk assets btw.
love this... you guys are manually putting in your levels for ACD every week etc? i need to start putting the levels on my charts.. i rely on you guys to tell me the levels.. . i'm going to review the book again, try to derive the levels on my own .. then come and discuss how i arrived at them for commentary... i'll learn better that way then just asking for levels all the time ..
i'lll get there...... haha.. just knowing the monthly is a God send.. i use a sort of swing trade method for trading spreads in CL so these larger time frame levels are GREAT for me