Correlations study bet NYMEX crude futures & DBO

J

J-Law

Anyone know what the correlation is between DBO & the NYMEX contract?
Anyone know of any correlation studies ???
 
CL vs. DBO, Daily closing marks, OTR past two years, just under 84% positive correlation.

CL vs. USO, same metrics, just under 73%.

DBO vs. USO, same metrics, just under 97%.
 
J-Law, there are about a dozen ETFs that have a two year daily close-on-close positive correlation greater than 95% with the CL Nymex futures contract. I apologize, but I cannot be more specific without getting nastygrams from clients.
 
Hey, thanks. That's cool. I completely understand.
At least I now know hat I could probably use ETF options as to add + gamma hedge against a short CL option position without paying up for CL options.
Ball in my court.
 
Is there a way to find out the correlation between stock vs ETF or a ETF vs ETF during intraday trading on a tick by tick time frame. Will I need to record this data on my own or is there a service that can give this data for free or for a fee.
 
Quote from TokyoGhetto:

Is there a way to find out the correlation between stock vs ETF or a ETF vs ETF during intraday trading on a tick by tick time frame. Will I need to record this data on my own or is there a service that can give this data for free or for a fee.
More...

yes, i track this but i wrote my own code. my stuff is always for sale to qualified individuals. :D
 
There is edge and there are a number of ways to exploit intermarket correlations.

You can scalp one versus the other, you can automate a 'lead-lag' strategy, and of course you can spread trade one instrument versus the other and profit from the convergence or the divergence.
 
You must log in or register to reply here.
Back
Top