One quick trade in NYBOT coffee (KC). Look at the spread KCK13-KCH13:
Shorting the spread (i.e. long KCH13, short KCK13) would be a good idea right now. Why? Look at the seasonality analysis of this spread:
It never gets much over 3.0 in the last ten years so there is probably an arbitrage barrier. And it tends to decline towards parity before expiration. However, the front contract is expiring soon so keep in mind the risk! First notice day for KCH13 is Feb 20th so this is a very short-term trade. If the spread won’t move in few days, I’d get away. Don’t wait for FND to be liquidated – coffee can be brutal when you have an unhedged futures position.
Liquidity seems to be good for now. Front open interest is already declining but volume is still at safe levels around 20k. But keep an eye on it.
Last time, we introduced the SGX data in the SpreadCharts app and briefly described the...
Read moreWe are thrilled to announce that we have obtained a license to distribute market data...
Read moreA bunch of new data has been added to the SpreadCharts app! This includes data...
Read moreI personally consider the signals generated by our AI model to be the cornerstone of...
Read more