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[TJ BLOG] - Strategie operative - Spread LE-HE

[TJ BLOG] - Strategie operative - Spread LE-HE

Messaggioda Assistenza Brokers 5 » 29/07/2015, 16:46

Oggi torniamo a parlare di strategie in spread su futures e mi concentro sul differenziale tra il futures del Live Cattle di Dicembre e il futures del Lean Hogs di Dicembre.
Ottengo quindi questa dicitura sintetica: LEZ4 - HEZ4

L'operazione ha un passato abbastanza roseo con profitti conseguiti 13 volte negli ultimi 15 anni. Il guadagno medio si aggira intorno ai 1850$ per contratto mentre la perdita media e inferiore alla metà, circa 790$ per contratto.

n° Moore: 4306

Stagionalità: dal 15 Luglio al 28 Agosto.

Medie storiche: Le medie (10, 15 e 30 anni) sono correlate e crescenti, sopratutto a partire dalla metà della finestra stagionale.

Backwardation:
Non si può parlare del fenomeno in quanto sono due commodities differenti.

Prezzi storici: dal punto di vista storico i prezzi sono molto alti (il max assoluto è in area 96$) siamo sui minimi di un ritracciamento iniziato a Giugno e che ha portato lo spread all'attuale prezzo di 85$ circa.

Volumi: Volumi ampi per i due futures. Siamo sopra i 2K per entrambe le gambe.

Correlazione: non esiste nessuna correlazione diretta con un anno specifico nel passato.

Analisi tecnica: non esiste nessun segnale tecnico al momento e nella seduta di oggi lo spread sta perdendo circa 1.5 punti ma siamo nel bel mezzo della stagionalità e, come già detto, sul minimo di periodo. Sicuramente è interessante monitorare la situazione.

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