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-----Original Message-----
From: HappyMike [mailto:happymike@xxxxxxxx]
Sent: Monday, February 26, 2001 8:57 AM
To: John Barnes
Subject: RE: Trading on the LME - Aluminium
The LME contracts would best be traded on a 3 month basis, as this is the
most liquid and most reported price. As you suggest, trading LME is more
complicated than futures--technically the LME trades 'forwards', like the fx
market. What that means is if you trade the 3-month on Feb.16th, you will
have a position for date of May 16th. To close out the position you need to
trade (close out the trade on) the same date, in this case May 16th. You
probably want to always trade the 3 month price, so you could make the
exiting trade in the 3 month and then roll the position to the date for
which you have a position, and then your square. To make it easier on
yourself, whenever you initiate a trade, roll it to the nearest option
expiration day out 3 months. Option expiration is always the third
Wednesday of each month. These are the most liquid dates of all. Then stay
in that one date--meaning roll all initiating and exiting trades to that
date--until a week or two before expiration, and then roll all current and
new positions to the next option date out 3 months.
-----Original Message-----
From: John Barnes [mailto:maau83@xxxxxxxxxxxxxx]
Sent: Friday, February 23, 2001 1:31 PM
To: omega-list@xxxxxxxxxx
Subject: Trading on the LME - Aluminium
I'm trying to get some info on trading aluminium and copper on the LME,
hopefully someone can help.
Firstly, which historical price series should I use? From what I've read the
3mth contract is the most liquid but can I trade the cash price as reported
by LME? How "available" are these prices i.e., what sort of slippage can I
expect?
How complicated is it to trade? I've read that one only realises
profits/losses 3mths after the trade even if you close it out after a day.
I'm also slightly wary of falling foul of some arcane LME price reporting
idiosyncrasies i.e., I don't want to build a system using cash only to find
that the cash price is totally untradeable.
Any help would be more than appreciated.
Thanks,
JB
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