Spread report. October 9th 2017

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Spread report October 9th 2017 All information in this document is intended for educational purposes only. We don t provide financial or investment advise.

1 Spread report October 9th 2017 All information in this document is intended for educational purposes only. We don t provide financial or investment advise. We re not a registered advisor, broker, dealer or representative of any regulatory authority. We don t publish analyses or recommendations regarding specific financial instruments. If any financial instruments, strategies, underlying assets or derivatives are mentioned anywhere in this document, it s always and only for educational purposes. SpreadCharts s.r.o. (the company) or its representatives bear no responsibility for actions taken under influence of information published anywhere in this document. There is a risk of substantial loss in futures trading. CFTC rule 4.41: Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under-or-over compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown. All information on this website are for educational purposes only and are not intended to provide financial advice. Any statements about profits or income, expressed or implied, do not represent a guarantee. Your actual trading may result in losses as no trading system is guaranteed. You accept full responsibilities for your actions, trades, profit or loss, and agree to hold SpreadCharts s.r.o. (the company) and any authorized distributors of this information harmless in any and all ways.

2 List of opportunities FUTURES Natural gas: NGG18 long Lumber: LBF18 short Euro: 6EZ17 short Sugar: SBN18 long Coffee: KCZ17 long INTERDELIVERY SPREADS Sugar: SBH18-SBK Gasoline: RBH18-RBG INTERMARKET SPREADS Natural gas Heating oil: NGV18-HOK

3 FUTURES Natural gas: NGG18 long Technical analysis neutral COT analysis slightly slightly favorable Detailed seasonality slightly unfavorable Contract s price rose during October: in 1 of the last 5 years (20%); in 4 of the last 15 years (27%) Contract s price rose during November: in 3 of the last 5 years (60%); in 6 of the last 15 years (40%) Chart 2: Price of the NGG18 contract: highlighted support at $ resistance at trendline. 5/15-year seasonality unfavorable Ticker NGG18 Expected outlook long Expiration month February 2018 Initial margin $2 120 (IB) Point value $ Nearest resistance $3.7 (NGG18) Nearest support $3.0 (NGG18) Table 1: Specification of the educational opportunity. resis- Chart 3: Historical price of the continuous contract: tance at trendline. Chart 1: Price of the NGX17 contract: highlighted support at $2.9. resis- Chart 4: Historical price of the continuous contract: tance at trendline. SpreadCharts.com 2/ 23

4 Chart 5: Term structure. Chart 8: COT traders index of the large speculators: horizontal line highlights the current value. Chart 6: COT positions index of the large speculators: horizontal line highlights the current value. Chart 9: Net concentration index: the current value. horizontal line highlights Chart 7: COT positions index of the hedgers: horizontal line highlights the current value. Chart 10: Detailed seasonality analysis. SpreadCharts.com 3/ 23

5 Chart 11: Detailed seasonality analysis except for the NGG09 contract. Chart 13: 5-year seasonality analysis with visualization of Chart 12: 5/15-year seasonality analysis. Chart 14: 15-year seasonality analysis with visualization of SpreadCharts.com 4/ 23

Lumber: LBF18 short Technical analysis neutral COT analysis slightly favorable Detailed seasonality slightly unfavorable Contract s price declined during October: in 2 of the last 5 years (40%); in 7

6 Lumber: LBF18 short Technical analysis neutral COT analysis slightly favorable Detailed seasonality slightly unfavorable Contract s price declined during October: in 2 of the last 5 years (40%); in 7 of the last 15 years (47%) Contract s price declined during November: in 2 of the last 5 years (40%); in 6 of the last 15 years (40%) 5/15-year seasonality neutral Chart 16: Historical price of the continuous contract: resistance at $415 + support at trendline. Ticker LBF18 Expected outlook short Expiration month January 2018 Initial margin $1 970 (IB) Point value $110 Nearest resistance $420 (front) Nearest support $390, $360 (front) Table 2: Specification of the educational opportunity. Chart 17: Historical price of the continuous contract: support at trendline. high- Chart 15: Historical price of the continuous contract: lighted resistance in the $400-$450 area. Chart 18: Term structure. SpreadCharts.com 5/ 23

Chart 19: COT positions index of the large

visualization of Chart 20: COT positions index of

Chart 23: 15-year seasonality analysis with

7 Chart 19: COT positions index of the large speculators: horizontal line highlights the current value. Chart 22: 5-year seasonality analysis with visualization of Chart 20: COT positions index of the hedgers: horizontal line highlights the current value. Chart 23: 15-year seasonality analysis with visualization of Chart 21: Detailed seasonality analysis. Chart 24: 5/15-year seasonality analysis. SpreadCharts.com 6/ 23

8 Euro: 6EZ17 short Technical analysis favorable COT analysis favorable Detailed seasonality slightly favorable Contract s price declined during October: in 3 of the last 5 years (60%); in 6 of the last 15 years (40%) Contract s price declined during November: in 4 of the last 5 years (80%); in 9 of the last 15 years (60%) 5/15-year seasonality slightly favorable Chart 26: Historical price of the continuous contract: arrow points to the break of support at trendline. Ticker 6EZ17 Expected outlook short Expiration month December 2017 Initial margin $6 920 (IB) Point value $ Nearest resistance $1.19, $1.20 (front) Nearest support $1.17, $1.12 (front) Table 3: Specification of the educational opportunity. Chart 27: Historical price of the continuous contract: a hint of head and shoulders pattern + support at horizontal line. high- Chart 25: Historical price of the continuous contract: lighted S/R zone around $1.2. Chart 28: COT positions index of the large speculators: horizontal line highlights the current value. SpreadCharts.com 7/ 23

Chart 32: 5-year seasonality analysis with visualization of Chart 30: Detailed

9 Chart 29: COT positions index of the hedgers: horizontal line highlights the current value. Chart 32: 5-year seasonality analysis with visualization of Chart 30: Detailed seasonality analysis. Chart 33: 15-year seasonality analysis with visualization of Chart 31: 5/15-year seasonality analysis. SpreadCharts.com 8/ 23

10 Sugar: SBN18 long Technical analysis neutral Term structure analysis slightly favorable COT analysis favorable Detailed seasonality slightly unfavorable Contract s price rose during October: in 2 of the last 5 years (40%); in 7 of the last 15 years (47%) Contract s price rose during November: in 2 of the last 5 years (40%); in 6 of the last 15 years (40%) Chart 35: Historical price of the continuous contract: highlighted movement to the side approximately between 13-15c. 5/15-year seasonality unfavorable Ticker SBN18 Expected outlook long Expiration month July 2018 Initial margin $1 020 (IB) Point value $1 120 Nearest resistance 15c, 15.5c (SBH18) Nearest support 13.8c, 13c (SBH18) Table 4: Specification of the educational opportunity. high- Chart 36: Historical price of the continuous contract: lighted level around 13c. Chart 34: Price of the SBH18 contract: highlighted support at 13.8c + resistance at trendline. Chart 37: Price chart of the SBH18-SBK18 spread and SBH18 contract: arrows highlight the divergence. SpreadCharts.com 9/ 23

Chart 38: COT positions index of the large speculators: horizontal line highlights the current value. Chart 41: COT traders index of the hedgers: horizontal line highlights the current value.

11 Chart 38: COT positions index of the large speculators: horizontal line highlights the current value. Chart 41: COT traders index of the hedgers: horizontal line highlights the current value. Chart 39: COT positions index of the hedgers: horizontal line highlights the current value. Chart 42: Net concentration index: horizontal line highlights the current value. Chart 40: COT traders index of the large speculators: horizontal line highlights the current value. Chart 43: Detailed seasonality analysis. SpreadCharts.com 10/ 23

12 Chart 44: 5-year seasonality analysis with visualization of Chart 46: 5/15-year seasonality analysis. Chart 45: 15-year seasonality analysis with visualization of SpreadCharts.com 11/ 23

Coffee: KCZ17 long Technical analysis slightly favorable COT analysis favorable Detailed seasonality slightly unfavorable Contract s price rose during October: in 1 of the last 5 years (20%); in 6 of

13 Coffee: KCZ17 long Technical analysis slightly favorable COT analysis favorable Detailed seasonality slightly unfavorable Contract s price rose during October: in 1 of the last 5 years (20%); in 6 of the last 15 years (40%) Contract s price rose during November: in 1 of the last 5 years (20%); in 8 of the last 15 years (53%) 5/15-year seasonality slightly unfavorable Chart 48: Price of the KCZ17 contract: arrow points to the break of trendline. Ticker KCZ17 Expected outlook long Expiration month December 2017 Initial margin $3 370 (IB) Point value $375 Nearest resistance 140c, 145c (KCZ17) Nearest support 125c, 120c (KCZ17) Table 5: Specification of the educational opportunity. Chart 49: Historical price of the continuous contract: highlighted support at 125c + resistance at trendline. Chart 47: Historical price of the continuous contract: support on the rising trendline + resistance at the declining trendline. Chart 50: COT positions index of the large speculators: horizontal line highlights the current value. SpreadCharts.com 12/ 23

Chart 52: COT traders index of the large speculators: horizontal line highlights the current value.

14 Chart 51: COT positions index of the hedgers: horizontal line highlights the current value. Chart 54: Net concentration index: horizontal line highlights the current value. Chart 52: COT traders index of the large speculators: horizontal line highlights the current value. Chart 55: Detailed seasonality analysis. Chart 53: COT traders index of the hedgers: horizontal line highlights the current value. Chart 56: Detailed seasonality analysis except for the KCZ11 contract. SpreadCharts.com 13/ 23

15 Chart 57: 5/15-year seasonality analysis. Chart 59: 15-year seasonality analysis with visualization of Chart 58: 5-year seasonality analysis with visualization of SpreadCharts.com 14/ 23

16 INTERDELIVERY SPREADS Sugar: SBH18-SBK18 Technical analysis favorable Term structure analysis neutral COT analysis favorable Detailed seasonality slightly favorable Spread s price rose during October: in 4 of the last 5 years (80%); in 7 of the last 15 years (47%). Spread s price rose during November: in 2 of the last 5 years (40%); in 8 of the last 15 years (53%). Chart 61: Price chart of the spread: support at trendline + resistance around -0.10c. 5/15-year seasonality slightly favorable Ticker SBH18-SBK18 Point value $1 120 Initial margin $625 (IB) Nearest resistance -0.10c, -0.05c Nearest support -0.20c, -0.35c Table 6: Specification of the educational opportunity Chart 62: Histogram of contango between the first and second expiration month for the last 5 years. Chart 60: Price chart of the spread: highlighted inverted head and shoulders pattern + resistance at trendline. Chart 63: Histogram of contango between the second and third expiration month for the last 5 years. SpreadCharts.com 15/ 23

Chart 64: Histogram of contango between the third and fourth expiration month for the last 5 years.

Chart 68: COT traders index of the hedgers with spread s price: horizontal line highlights the current Chart 66:

17 Chart 64: Histogram of contango between the third and fourth expiration month for the last 5 years. Chart 67: COT traders index of the large speculators with spread s price: horizontal line highlights the current value. Chart 65: COT positions index of the large speculators with spread s price: horizontal line highlights the current value. Chart 68: COT traders index of the hedgers with spread s price: horizontal line highlights the current value. Chart 66: COT positions index of the hedgers with spread s price: horizontal line highlights the current value. Chart 69: Net concentration index with spread s price: horizontal line highlights the current value. SpreadCharts.com 16/ 23

Detailed seasonality analysis except for the SBH11-SBK11 spread.

18 Chart 70: Detailed seasonality analysis. Chart 73: 5-year seasonality analysis with visualization of Chart 71: Detailed seasonality analysis except for the SBH11-SBK11 spread. Chart 74: 15-year seasonality analysis with visualization of Chart 72: 5/15-year seasonality analysis. SpreadCharts.com 17/ 23

Gasoline: RBH18-RBG18 Technical analysis neutral COT analysis favorable Detailed seasonality favorable Spread s price rose during October: in 5 of the last 5 years (100%); in 9 of the last 12 years

19 Gasoline: RBH18-RBG18 Technical analysis neutral COT analysis favorable Detailed seasonality favorable Spread s price rose during October: in 5 of the last 5 years (100%); in 9 of the last 12 years (75%). Spread s price rose during November: in 2 of the last 5 years (40%); in 7 of the last 12 years (58%). 5/15-year seasonality favorable Chart 76: Price chart of the spread: resistance at top trendline + support at bottom trendline. Ticker RBH18-RBG18 Point value $ Initial margin $310 (IB) Nearest resistance $0.018, $0.020 Nearest support $0.013, $0.012 Table 7: Specification of the educational opportunity Chart 77: Historical price of the continuous contract: resistance at horizontal line + support at trendline. Chart 75: Price chart of the spread: resistance at trendline + support around $ Chart 78: COT positions index of the large speculators with the price of gasoline: horizontal line highlights the current value. SpreadCharts.com 18/ 23

Chart 79: COT positions index of the hedgers with

Chart 80: 5-year seasonality analysis with

20 Chart 79: COT positions index of the hedgers with the price of gasoline: horizontal line highlights the current value. Chart 82: 5/15-year seasonality analysis. Chart 80: 5-year seasonality analysis with visualization of Chart 83: Detailed seasonality analysis. Chart 81: 15-year seasonality analysis with visualization of Chart 84: Detailed seasonality analysis except for the RBH12-RBG12 spread. SpreadCharts.com 19/ 23

21 INTERMARKET SPREADS Natural gas Heating oil: NGV18-HOK18 Technical analysis slightly favorable COT analysis favorable Detailed seasonality slightly favorable Spread s price rose during October: in 3 of the last 5 years (60%); in 10 of the last 15 years (67%). Chart 86: Price chart of the spread: resistance at trendline. Spread s price rose during November: in 2 of the last 5 years (40%); in 6 of the last 15 years (40%). 5/15-year seasonality favorable return Max drawdown Ret./DD 5 years $ $ years $5 805 $ Ticker Equity spread Initial margin Nearest resistance Nearest support NGV18-HOK *NGV *HOK18 $4 750 (IB) -$40k, -$37k -$43k, -$45k Chart 87: Historical price of the continuous heating oil contract: rising price channel. Table 8: Specification of the educational opportunity Chart 85: Price chart of the spread: around -$45k. highlighted S/R zone Chart 88: Historical price of the continuous heating oil contract: resistance around $ support at trendline. SpreadCharts.com 20/ 23

Chart 90: COT positions index of the large speculators with the price of natural gas: horizontal line highlights the current value.

22 Chart 89: Price ratio of natural gas/heating oil: highlighted the current value. Chart 92: COT positions index of the large speculators with the price of heating oil: horizontal line highlights the current value. Chart 90: COT positions index of the large speculators with the price of natural gas: horizontal line highlights the current value. Chart 93: COT positions index of the hedgers with the price of heating oil: horizontal line highlights the current value. Chart 91: COT positions index of the hedgers with the price of natural gas: horizontal line highlights the current value. Chart 94: Detailed seasonality analysis. SpreadCharts.com 21/ 23

23 Chart 95: 5-year seasonality analysis with visualization of Chart 97: 5/15-year seasonality analysis. Chart 96: 15-year seasonality analysis with visualization of SpreadCharts.com 22/ 23

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