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Philip,
My favorite spead "up here" (near the Artic Circle) is to go long "darkest"
and "short daylight" sometime in late summer. I reversed the positon
yesterday.
Happy Holidaze!
Steve Karnish
Cedar Creek Trading
http://www.abbracadabra.com/cybercast/
----- Original Message -----
From: Philip <pschmi02@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Friday, December 24, 1999 9:02 AM
Subject: Seasonal Spread Opportunity
> Granted, I'm new to spread trading, but it's amazing what even beginners
> can find on the web with enough persistence.
>
> Although not well known to the general public, commercials have long
> been trading December Santas vs. April Bunnies. At the end of December,
> the desirable position would be to sell Dec. 99 Santas and buy April 00
> Bunnies
>
> Over the May to August period this spread generally trades at about even
> money with a slight tendency for the Bunnies to go to a premium over
> Santas depending on long term weather prognostications. Starting in
> September, sometime after Labor Day, the Santas gain on the Bunnies,
> going to a sharp premium at the end of November. Aggressive traders
> have been Long the Santas - Short the Bunnies from about Halloween.
>
> After the Christmas Holiday, Santas have a marked, reliable tendency to
> sell off vs. Bunnies. The attached chart shows the progress of the
> spread to date. Note the trend line. While I would normally recommend
> waiting for evidence of genuine downward momentum, astute traders will
> enter this spread at the first decisive break lower.
>
> The CBOT does not recognize this spread so you will have to margin each
> contract separately. Consult your broker. Bear in mind that this is a
> so-called "money spread" because Bunnies are traded in eggs per basket
> while Santas are calculated using presents per sleigh.
>
> An interesting and perhaps not entirely unrelated parallel may be found
> in the well known Latkes vs. Hammantaschen spread which usually peaks
> somewhat earlier in December with the Latkes at a huge premium over the
> Hammantaschen.
>
> Philip
>
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