The Rolling of the SPI

You may be seeing some large numbers go through Time & Sales this week in SPI. These are positions rolling from March to June expiry. Typically this happens in the week or so leading up to the front month expiry. What you are probably seeing is large numbers going through Time & Sales, but not actually trading. This is 100% …

A Simple Spread in Crude Oil

Here is an interesting pattern in Crude Oil calendar spreads. The recent sell off in Crude was sharp and violent and suggested bear spreads (short near month, long far deferred) would benefit. Interestingly, bear spread took a long time to react, almost as if it was waiting for the market to hold lower levels before playing catch up. Firstly, check …