Not Enough Noise

When I started trading wheat futures in March, my plan was three pronged: 1) make money on storage and perhaps on trading around commodity index rolls; 2) make money on strategic positions-focused on situations where commodity index investment has caused distortions in intermarket wheat futures spreads; and 3) make money by "jobbing" or "scalping" spreads on the less liquid MGE and KC exchanges on a daily basis.

The #1 and #2 ideas still seem sound, but #3 has been a disappointment. There are a few challenges to making money from taking advantage of "noise": Fast market execution, correlation with overall market direction, and expense. I think there are adjustments I can make to limit the poor executions in fast markets. And the expenses are not prohibitive if we can be right; expenses are only 1 tick for a round turn on a spread (4 sides).

The major problem with trading intra-day has been that the intermarket spreads and the calendar spreads are behaving as straightforward bull or bear spreads. To be right on the spread, one has to be right on the overall direction of the market. There isn't enough trading range on the spreads to allow any wiggling out if the overall direction works against the spread position.

For now, I will continue to explore intra-day opportunities on the intermarket wheat spreads, but I am not going to force it--trade just for the sake trading something.