Last week I got out of my intermarket wheat spreads fearing that the rush to commodities after the Fed announced QE2 would push the CBOT higher (against me). Today the wheat market, along with corn, looks to have reversed direction and started heading back down. So I am getting back in, sort of. Today I bought MGEX and sold KC. I believe this spread will be less volatile than MGEX/CBOT and I am more comfortable with the current level of the spread: I paid less then 8 cent premium for some Dec MGEX and only around 7 cents premium for some March.
I will be looking at the calendar spreads tomorrow as it is getting to the end of the traditional "Goldman roll." We may have already seen the biggest contango numbers for the Dec/March spreads.
Subscribe to:
Post Comments (Atom)
Posts
No comments:
Post a Comment