rsh01
Experienced member
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I did trade CL cal spread (flys/condors) for about a year (approx first 2 years of the curve) but it was during the spring rising and the volatility became too great for the cost of the trade ($1+ a side - so for a fly it wld cost you $4 entry + $4 exit with 1tick = $10 so net $2 gain - so really needed 3 ticks). It used to be tight mean reverting ranges (2005-2010) - 20ticks max, but some of the months (often a fly with a quarter month in it - which is most) cld spike 50-100ticks easily in a cpl of days. So it wld take on the characteristics of an outright yet the cal spdread flow didn't correlate to the movement in the underlying (it did up to early 2011) - the curve cld pivot from contango to backwardation easily (I searched for months on literature which might explain the curve shifts but there's limited available from what I found, if anyone else can provide some sources I wld be intrigued to learn more). With a decent exchange rebate we were only just breaking even with broker costs of up to 50k a mth, it became impossible (for me) to trade it, and by this time I had already started trading outrights. From what I have heard things haven't changed much, cpl of guys still trading it but just treading water, downsized massively and limited averaging which has cut into a big part of their monthly income - the rebates.
There's much better energy related trades to be looking at for an income.
I worked at a prop firm so they provided the margin which was over 100k most days, though I was trading a cpl of years of the curve.
Why the interest in CL cal spreads?
There's much better energy related trades to be looking at for an income.
I worked at a prop firm so they provided the margin which was over 100k most days, though I was trading a cpl of years of the curve.
Why the interest in CL cal spreads?