Rollovers, Changes, and Other Housekeeping

The ‘To Do’ List

As we are about to close out the month and the first half of 2017, the IMC blog has a few spread positions that need to be rolled out to the more distant month contracts.  Also, there are current outstanding parameters for new trade positions that need to be adjusted and/or changed to longer-dated contracts.  For brevity’s sake, we’re gonna take care of all of this housekeeping in one single post instead of issuing multiple posts.

Rollovers

The blog entered a short position in the July Grain Basket spread (short one July soybean contract, long one July wheat contract, and long one July corn contract) at the equivalent of +$2.01 1/2 (premium beans) on February 13th.  Exit this spread and simultaneously enter a short position in the September Grain Basket spread (short one September soybean contract, long one September wheat contract, and long one September corn contract) at the market-on-close on Wednesday, June 28th.

The blog entered a short position in the July sugar/corn spread (short one July sugar contract and long one July corn contract) at the equivalent of +$3,025.80 (premium sugar) on February 13th and short an ‘add-on’ July sugar/corn spread at -$899.10 (premium corn) on April 26th.  Exit these spreads and simultaneously enter short positions in the Oct-Sep sugar/corn spread (short one October sugar contract and long one September corn contract) at the market-on-close on Wednesday, June 28th.

Parameter Changes

Last year, the IMC blog experimented with a value investing strategy known as scale trading.  We applied this strategy to the copper(x2)/gold spread in the second half of the year.  The trade campaign payed off as it netted a profit of nearly $72,000 in just under four months.  Therefore, we left standing orders in place to reenter if the spread returned to the qualifying price levels.

Currently, the blog is working orders to scale trade the December 2017 copper(x2)/gold spread.  We are going to change this to the July-June 2018 contracts in order to give ourselves lots and lots of time.  Therefore, the blog will cancel the current orders in the December 2017 spread and replace it with new orders to buy the July-June 2018 copper(x2)/gold spread (long two July copper contracts and short one June gold contract) on a close at -$5k or less, buy another one on a close at -$10k or less, buy another one on a close at -$15k or less, etc.  The purchase intervals are set every $5k lower.  Every position is to be liquidated on a close that is $5k or higher than the interval purchase level.  Note that the liquidation targets are based on the scale intervals, not the actual purchase price.  This means that any better-than-expected purchase prices will result in even bigger profits when it is finally liquidated.

Also, the blog has been working a hypothetical order to short the September copper/crude oil spread.  Cancel the parameters for the September contracts and replace it with new orders to short a December copper/crude oil spread (short December copper and long December crude oil) on a close below +$18k (premium copper).  If filled, liquidate the position on a two-consecutive day close above the contract high that precedes the entry (currently at $22,265).

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