MGEX lagged more and more as the grains were pushed higher. Obviously I'm the wrong guy to ask about why CBOT wheat was 20 cents more attractive by the end of the day. Some of my Dec MGEX I sold out vs CBOT, but some I held and some I rolled to March.
As I mentioned yesterday, there is pressure on the front of the CBOT market and there isn't that much more room for Dec/March CBOT to run... even with the VSR hike Dec/March will only be 40 cents plus financing-which could be anything from zero to four cents. So I rolled from long Dec MGEX/ short Dec CBOT to long March MGEX/short March CBOT at 24.5 cents cheaper. If I can pick up 25 cents every 3 months on that spread, I will be long MGEX at $1.50 under CBOT by this time in 2012...
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Just a total Sh*t show in the srw spreads today......huge paper bearspreading z/z and n/z (would obviously assume early roll) yesterday in the pit......went to put em on today and they were on a mission to make sure every last one of us puked out of our bearspreads before taking them out again on the close. These spreads have been super tricky lately...about the only thing I feel sure of is bearspreading hk.....any high duration spread like n/z or z/z is much too wild for my tastes anymore and any spread further out than the first combo (zh and hk) is too unpredictable.
ReplyDeleteThe barbell shape of the volume chart for wheat futures trading (high in the first and last 5-10 minutes of the traditional pit hours) lends itself to developing paranoia.
ReplyDeleteI know that I have experienced a series of weak MGEX closes with air pockets hit in the last few seconds and I feel like the world is out to get me and my intermarket spread position. More likely is that it is market-on-close spec liquidation or hedging and I am just not positioned for it.
spreads coming in hard again this morning with this flat price rally....feels like we are due for another blow up in the spreads before putting bearspreads back on.....will look to do h/k at 10-12 carry and k/n at even.....z/h minney should eventually work itself wider as duluth is full of spring wheat and I dont see any reason why there won't continue to be big deliveries.....am bullspread h/k minney out here at 9 though.....if the chicago spreads start coming in minney will follow
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