Cl & Ng

1. Not necessarily.

2. Acceleration rates and currency values of the comparative moves will vary widely.

3. On a volatility-adjusted basis, the spread has an average daily trading range of 306 tics.

4. Two year correlation of 88.7%. Z-score of 0.35.
 
On a statistical basis, on a technical basis, and also on a Btu-weighted basis, it's a crappy spread for relative value traders.

If you're trying to scalp NG based upon what CL or HO does and vice-versa, that's a very tough path to take when you consider slippage and correlation breakdown.
 
SethArb:

Rock-on. Love the white uniforms and black bowtie. Guy looks serious too - like he's going to shoot the kid who passes on his ice cream!
 
Quote from millionaire7:

Hi,

Is there a direct co-relation between CL and NG futures. Means if CL goes up , NG will go up and vice-versa.

Thanks.
More...

The correlation was high before, not any more. CL is more correlated to S&P and Dollar.
 
You must log in or register to reply here.
Back
Top