30 March 2011

ED Calendar Spread : Update

  • M1/Z1 spread has turned back up nicely from intra-day low of +11. Currently at +28.
  • Still think this should trade in a range of between +25 to +50 although move to the upper band is data dependent and is far from assured. Any move above +37 will be difficult but remains my central scenario.
  • EDM1 is basically stuck at 99.62 and will roll down (up price) towards 0.31% ceteris paribus. So the spread is very much an outright EDZ1 position.
  • EDZ1 looks like in the early stages of a double top but clearly running out of time (expiry) to ever see the neckline again. Nevertheless, it is a sell if ever we get back to 99.40 (now at 99.335). That makes the spread a strong buy at around +22/+23.
  • +36 and +41 are good levels to take profits.


Taichiseal said...

Unlegged spread. Sold EDM1 @ 9964.5. Giving up 4 tics of upside left for 3 months to expiry vs potentially huge downside if there is a liquidity squeeze on short end for whatever reason.

Taichiseal said...

Naked short EDZ1 now.