|
Fort Collins, CO | I'm not generally a fan of this type of three-way spread, especially if you're paying more than the smallest commissions. The net delta of this spread is -0.52 (based on our closing model from Friday), and so you'd have to trade 2 of these three-ways (six contracts) to be effectively equivalent (on a delta-weighted basis) to selling one future. Additionally, the single short future performs better on the tails than the 2 three-ways and, therefore, doesn't use up as many "guaranteed" bushels. The charts I'm attaching compare the expiration PnL of paying 6.75 cents (our rough value versus Friday's close) for two of the three-way spreads you mentioned versus simply selling one future. The chart below assumes $6/contract in round-turn commissions and fees - the three-way looks relatively worse and worse as commissions rise. Ultimately, the windows where the 2 three-ways outperform the 1 future are relatively small.
 (20240601 Expiration with 6 cf (full).png)
Attachments
----------------
 20240601 Expiration with 6 cf (full).png (104KB - 46 downloads)
| |
|
Weekly Corn Market Update & ask me anything
