Monday, May 16, 2016

Sept - Aug Crack Spread Calendar +$100 after fees

Takeaways
CSC price fluctuates with a magnitude of ~10% on 5min time scale.
It looks OK on paper but in reality bid/ask differential is very large.
The cost of trading is ~$30 which is high.
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Update : Closed with profit of  ~ $100 after fees.
Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Net Price Order Type CSC
-1.274
5/16/2016 12:20 FUT CALENDAR BUY 1 TO CLOSE /RBQ6 16-Aug FUTURE 1.6166 0.022 MKT
SELL -1 TO CLOSE /RBU6 16-Sep FUTURE 1.5946 DEBIT
5/16/2016 12:20 FUT CALENDAR SELL -1 TO CLOSE /CLQ6 16-Aug FUTURE 48.73 -0.35 MKT
BUY 1 TO CLOSE /CLU6 16-Sep FUTURE 49.08 DEBIT
-1.3982
5/13/2016 14:12 FUT CALENDAR SELL -1 TO OPEN /RBQ6 16-Aug FUTURE 1.5876 0.0221 MKT
BUY 1 TO OPEN /RBU6 16-Sep FUTURE 1.5655 CREDIT
5/13/2016 14:12 FUT CALENDAR BUY 1 TO OPEN /CLQ6 16-Aug FUTURE 47.39 -0.47 MKT
SELL -1 TO OPEN /CLU6 16-Sep FUTURE 47.86 CREDIT

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I propose here to trade Crack Spread Calendar which is the difference between  /RB and /CL calendars. CSC is  a capital efficient trade. The trade below is an experiment to better understand the mechanics of such trading.
Sept-Aug CSC = 42*(/RBU6-/RBQ6)-(/CLU6-/CLQ6)
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Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type CSC
-1.3982
5/13/2016 14:12 FUT CALENDAR SELL -1 TO OPEN /RBQ6 16-Aug FUTURE 1.5876 0.0221 MKT
BUY 1 TO OPEN /RBU6 16-Sep FUTURE 1.5655 CREDIT
5/13/2016 14:12 FUT CALENDAR BUY 1 TO OPEN /CLQ6 16-Aug FUTURE 47.39 -0.47 MKT
SELL -1 TO OPEN /CLU6 16-Sep FUTURE 47.86 CREDIT

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