I happily exited most of my long MGEX/short CBOT position today....why? Because I fear that CBOT will outpace MGEX in a rampant bull market. Those fears are likely misplaced, but after the experience last summer, better safe than sorry.
The nearby calendar spreads on the KC and MGEX stayed out at elevated percentages of full carry. CBOT, however, could see March/May widen out to 32-35 cents premium for May, so there's still some room in that spread from the current 28 cents. I remain surprised at the disconnect between the bullishness on the outright market and the lack of interest in holding the front end...
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