CL Dec Spreads

Oil 101 is a small start; more holistic in nature rather than strictly related to the curve. There's no definitive book on trading term structure, but anything by Dragana Pilipovic, Helyette Geman or Davis Edwards would be beneficial.

Quote from maninjapan:

The more I learn the less I know........
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I've been learning this my entire career.
 
Quote from ogarbitrage:

Oil 101 is a small start; more holistic in nature rather than strictly related to the curve. There's no definitive book on trading term structure, but anything by Dragana Pilipovic, Helyette Geman or Davis Edwards would be beneficial.


I've been learning this my entire career.
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Thank you very much. I'll definitely get onto these. Do you know of any good blogs or commentary on the topic?
This may be too broad of a question but how much have the different parts of the curve been affected by the flow of money from funds over the past few years? Or does it remain the domain of professional energy traders? (or are they one in the same these days...)

Thank you again!
 
Quote from maninjapan:

Thank you very much. I'll definitely get onto these. Do you know of any good blogs or commentary on the topic?
This may be too broad of a question but how much have the different parts of the curve been affected by the flow of money from funds over the past few years? Or does it remain the domain of professional energy traders? (or are they one in the same these days...)

Thank you again!
More...

The only worthwhile commentary out there in 'blog' type format is from Dominick Chirichella and he writes about the entire energy complex. Aside from him, you might find some former floor guys trying to pitch their BS but it's usually just that.

Most of the 'money flows' are concentrated in the front 1-3 months and I would consider them largely trend or noise traders. There was a time when I would say the ETF world became the tail that wagged the dog, but I think that time has passed. There are still some people trying to catch the ETF rolls, but their impact isn't huge by any means.

There are some CTAs active in the backs, but most firms confine themselves to the front 12 months if they go beyond spot at all. The term structure trading is concentrated in the physical houses with long term positions.
 
I had picked up in a couple of threads with liquidity in the dec contracts funds rolled from dec to dec contract to reduce slippage from constant rolling ( not sure wether this liquidity was due to that or that's why they chose the dec contract) . Is it possible to say either way if there is any truth to this?
 
Sorry, not sure I explained myself very well. Below is a comment I picked up re Dec contracts

"Index funds have a lot of different strategies to minimize transacation/roll costs, and I believe that one strategy is to just buy the December contract and roll to the next December contract. December seems to have the most liquidity of all the months. So, to the extent they are net buyers, the December contracts will be bid up relative to the other 11 months."

Was just wondering if this was a valid point or not. I had noticed that the Dec 14 contract seemed a little depressed compared to the surrounding contracts since FOMC.
I had looked into patterns in the Dec contracts over the past few years which seemed to match the logic behind this point of view. I thought I was able to follow to some extent the effect of funds however I'm seeing the opposite occur. This is what led to to make the initial post. Perhaps what I was seeing was due to something else all together.

But from the information you've been kind enough to provide to date, it is a lot more complex than I was thinking....
 
Quote from maninjapan:

Sorry, not sure I explained myself very well. Below is a comment I picked up re Dec contracts

"Index funds have a lot of different strategies to minimize transacation/roll costs, and I believe that one strategy is to just buy the December contract and roll to the next December contract. December seems to have the most liquidity of all the months. So, to the extent they are net buyers, the December contracts will be bid up relative to the other 11 months."

Was just wondering if this was a valid point or not.
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The "I believe" should have been a dead giveaway, but that post is categorically false and whoever wrote it was theorizing, poorly I might add.
 
suprise suprise.... a random quote on a forum turned out to be wrong.....

I'm seeing in the COT data that producers are net long for the first time in the data that I have ( since 2006). Is this a product of the curve being in backwardation? Or is it the other way round? Do energy traders even place much weight in the COT report?

Apologies for the extended question time, just trying to make sense of the information available.

Thanks again
 
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