Catholic Intelligence

Market View

Industrials:

steel, cooper and aluminum seem to defy destiny trying to persevere outwards up trend continuation. In the Softs complex it’s important to note how cardamom is reverting the tough uptrend hold in the last months. It’s interesting how TSR20 wasn’t as damagaded as crude oil being both so correlated. Cotton is making some noice upwards.

No fundamentals from the USDA because snow in DC, so It’s been pretty much a true market, supply and demand of orders.

 

US$ index is dancing the same song cardamom, reversal.

 

it’s incredible how industrials have the ability to regain rythm after they lose with some falling days.

 

Sugar seems enthusiastic about continuing that strong trend.

CL system

if c/p vol >1 at t0 then s at the open of t+1 and b when the mkt close. Check defined times in the futures.

video weekly review

sb system:

b if weeky % >5 + s 5d later.

Since 1967.

avg	3%
stdev	7%
n	73
z	3.67
max	28%
min	-14%
avg win	7%
avg loss	-4%
p(win)	67%

KC spec based on putcall vol

si el volume en calls es mayor al volumen en puts (4 first contact months)
sell al close y recomprar al close t+1.
Muy pocos datos todavía.

 

Weekly trading sugar

get a long position when the weekly return > 3% and when the market context is closing weekly prices are above the long term trend (50week). If we are below the LT trend, shorting is a better idea but no really much of an edge is present.

 

 

I would be 6% to 10% of the time in the market, that’s three or four positions in a year. (…)

Short the bull in SB

In a 8 week span I should sell sugar and expecting to gain 20% to twenty percent with possible losses of about 18% to 26%. The probability of loss is of 24%. The problem is this has happened before only 17 times since 1967…

Meet a Scalper

Interview with Paul Rotter – aka "the Eurex Flipper" here. Back on F05 it was already point of discussion the algorithms provided by deep pockets for systematic trading in the order books.

 

One can use this scalper approach towards options on commodity futures.

 

 

I must admit, that back then I had absolutely no idea that there was something like ‘risk-management’.

 

you are known as a order book-scalper, could you please explaining to our readers what you are doing and what your strategies look like? what is your tactic?
a: it’s some kind of market making where you place buy and sell orders simultaneously, making very short-term trading decisions b/c of certain events in the order book (level2). for example, I usually have lots of orders in different markets at the same time, pretty close to the last traded price. the resulting trades are usually a zero sum game, but I get a pretty good feeling for what is going on and then ultimately can make a decision for a larger trade.

Health Care, Sugar and Industrial metals

 

 

 

shorting corn – results

In the paper world last jan 13 I bought one corn call for march at 350 strike for 6 cents or US$300.

It is being quoted as I write for 7’4 or US$375. That is a 25% increase and a gain in position (taking off expenses) of 11%.