Thanks for this link. I have been going through this series of videos and in one of them he mentions that some instruments have a "true opening range". I couldn't really understand what he means by that. Any ideas?
Hedge fund I worked for blew up being on the wrong side of the widowmaker. Dont fully understand what happened but I never forgot the term and that its impact is felt most starting Jan into Feb. I was given to understand that its a relatively thin market and people work on their positions the entire year. Then come Jan/Feb, they are either laughing or crying.
mav, although i am extremely well versed in vol curve trading..i have been dipping my toes in cl for about 6 months. one thing learned is to trade one spread against another and even then to do so after decent front cl future moves. for example as a "fly". now that mar april is the front i expect the spread to flatten back in. if it does not; i have more to learn then. in any case i would trade the fly but entry levels are important as always.
SIV, there are VAST differences between natty and oil. Oil doesn't have the seasonality that gas does. Gas has a LOT of quirks. You can't simply buy the fly after a spike. April is when gas gets injected into underground storage and March is usually the last peak month of the winter season. The market almost ALWAYS goes into backwardation because of this. This is VERY different from CL and they can't be traded the same way. If you want to trade a fly in gas you want to avoid the change over. You do not want to be trading mean reversion here. CL is different as it's a carry market and oil is ALWAYS in storage. That is why the calendars are much tighter.
i hear you..my post was simply referring to the CL mar/april spread..i missed if you were talking about it interlaced with gas. i also realize the CL curve is not per se a mean reverting beast..but one thing i would bet is the flies there have ranges to play (again, small experience but fruitful possibly by luck).
Right CL's storage costs are embedded in the calendar and they are pretty straightforward. Whereas natural gas has a very strong seasonality competent to it and a VERY VERY different spot market. SIV, gas traded $140 today in NY. That's a new record.
OK, now they are 40 cents! LOL. These spreads are blowing out big time. I imagine some prop firms are getting lit up right now (pun intended).
my guess would be that he is talking about products that are primarily pit traded like the commodities, almost everything is part of globex now including the es obviously. In that context the true opening range would be the "pit" open and close which is 930 am eastern to 4 pm eastern time. Maybe Sir Maverick has some color on this. Fisher does go out of his way to state that the opening range should be derived from the native time. ie gold is traded on the east coast so you should use their time.