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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