Brent/WTI Spread

D

diablo11

Where can I find the historical spread between the 2? I know we are way off the high of the spread and I was wondering what the boards thoughts on further contraction ?
 
you can use this strategy:
http://www.quantpedia.com/Screener/Details/100
A 20-day moving average of WTI/Brent spread is calculated each day. If the current spread value is above SMA 20 then we enter a short position in the spread on close (betting that the spread will decrease to fair value represented by SMA 20). The trade is closed at the close of the trading day when the spread crosses below fair value. If the current spread value is below SMA 20 then we enter a long position betting that the spread will increase and the trade is closed at the close of the trading day when the spread crosses above fair value.
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Quote from tank_abbott:

you can use this strategy:
http://www.quantpedia.com/Screener/Details/100
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With all deference and respect I simply must call bullshit, you fade a 20 period SMA - especially in that spread and you will get absolutely CRUSHED. You can't trade many/most commodity spreads these days on mean reversion back to what you perceive to be "fair value". Please note within the article that the strategy has a shelf life of circa 2004. That is indeed a highly profitable spread, but your referenced strategy is bassackwards and incredibly painful. I have clients with cash rack pricing in Cushing, and Platt's North Sea platform unloading basis info that won't fade that beast. Too many financial players with deep pockets ( open interest volume ) and the physical contract fungibility is too modest for a decent basis model from our experience as well.

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Quote from thecooler88:

Hi Bone, I was reading one of your posts about CME exchange order matching engine, they are executed at price internally, I was wondering how you actually execute the spreads with your broker.
thanks

http://www.elitetrader.com/vb/showthread.php?s=&threadid=211094&perpage=6&pagenumber=2
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These exchange supported implied spreads are executed just like a single futures market with one price ( the actual quoted spread differential ) - in fact, it is one singular price ladder in TT, CTS, PATS, etc.. The broker doesn't really do anything except clear the trade and collect a commission ! My clients who come to me clearing IB usually change brokers, because at least in the past IB was not particularly good with clearing spread trades. All the major Chicago and Bank FCMs will clear these and margin them correctly.

http://www.cmegroup.com/globex/files/Trading_Technologies.pdf

http://www.cqg.com/Docs/OrderTypeMatrix.pdf
 
oh ok thanks, that clears it up. Yeah IB spreads and margin for spreads is still screwy. Might open an account with Advantage or RJO.
 
Quote from bone:

These exchange supported implied spreads are executed just like a single futures market with one price ( the actual quoted spread differential ) - in fact, it is one singular price ladder in TT, CTS, PATS, etc.. The broker doesn't really do anything except clear the trade and collect a commission ! My clients who come to me clearing IB usually change brokers, because at least in the past IB was not particularly good with clearing spread trades. All the major Chicago and Bank FCMs will clear these and margin them correctly.

http://www.cmegroup.com/globex/files/Trading_Technologies.pdf

http://www.cqg.com/Docs/OrderTypeMatrix.pdf
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Advantage gave me a trial of the CTC platforms, they have all the implied spreads mentioned above, pretty neat. Still getting the hang of thinking in terms of spreads
 
Quote from thecooler88:

Advantage gave me a trial of the CTC platforms, they have all the implied spreads mentioned above, pretty neat. Still getting the hang of thinking in terms of spreads
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Spreads will rock your world. Then you will get really pissed off that you didn't go down this road a long time ago. Fight through the regrets and make the best of the future.

I have some clients who clear Advantage and they have adapted my proprietary spread technical studies to the CTS4 charting platform. I probably have fifty clients clearing Advantage Futures.
 
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