Crude Calendar Spreads

X

xyannix

Hello,

I was wondering if anyone knows where I can find more information on crude oil calendar spreads.

I want to know the seasonal historical spreads.

I also want to know if there is any article on how calendar spreads can affect the price of crude.

I want to understand why spread between April & May Crude oil has widened from $0.60 to $1.30 in less than a month. Is this typical or caused by market makers etc.

Thank you.
 
Take this with a grain of salt................(1) I've heard/read that it has something to do with the certified storage capacity being completely maxed-out. Because of that , it becomes easier to pressure the front-month lower with new deliveries and bear-spreading. (2) It might have something to do with an enormous "Goldman Roll" in the crude oil and other energy contracts.
 
Alright I was looking at this same thing recently. I really don't understand how & why the spread acts the way it does.

Today for example, in the middle of the morning MAY 07 CRUDE(CL) was down roughly 1 pt while DEC 07 CRUDE(CL) was +5-10 ticks.

As I type this those same contracts are -1.20 & -.70 respectively.

I just don't understand what's going on. Should the spread really change that much in only a few hours? I've noticed this a lot lately. What am I missing?

Also does anyone know where I can get intraday charts & data for spread trading the OIL (CL) futures? I'd also like to see continuous back adjusted data for month pairs, i.e. front month and 6 months from expiry... and front month and 3,612 months from expiry.

Thanks for the help!:cool:
 
Good luck finding the data. I dont know if it is even available.

You can get first three months from the EIA website I think.

Also, You cannot look at the may contract for the past two days because it was the final days of trading for it and way to erratic.



Quote from stockapprentice:

Alright I was looking at this same thing recently. I really don't understand how & why the spread acts the way it does.

Today for example, in the middle of the morning MAY 07 CRUDE(CL) was down roughly 1 pt while DEC 07 CRUDE(CL) was +5-10 ticks.

As I type this those same contracts are -1.20 & -.70 respectively.

I just don't understand what's going on. Should the spread really change that much in only a few hours? I've noticed this a lot lately. What am I missing?

Also does anyone know where I can get intraday charts & data for spread trading the OIL (CL) futures? I'd also like to see continuous back adjusted data for month pairs, i.e. front month and 6 months from expiry... and front month and 3,612 months from expiry.

Thanks for the help!:cool:
More...
 
.. thanks for the info.. I've got to remember that Expirations on these futures contracts are a month earlier than I am used to with index/stock options...

anyone else have any idea where I can get spread data?
 
Quote from StockApprentice:

.. thanks for the info.. I've got to remember that Expirations on these futures contracts are a month earlier than I am used to with index/stock options...

anyone else have any idea where I can get spread data?
More...

I am not sure you can find cl spread data on the retail level. Your best bet is to use historical data for each contract from your broker and build your own model looking for patterns.
 
Quote from rallymode:

I am not sure you can find cl spread data on the retail level. Your best bet is to use historical data for each contract from your broker and build your own model looking for patterns.
More...

Yes, any programmable package like TS displaying 2 or more datas on screen can do it. There are already" spread-diff" and "spread-ratio" indicators in TS and they display continuous front month and 2 nd - 3rd... months.
 
As for charts/data, www.futuresource.com has intraday charting capabilities. For a spread, just type in CLM07-CLZ07, for example.

Also, for extensive spread charting, check out www.scarrtrading.com. Quality software, and allows you to do most things of interest. I've used it for a couple of years now, and have been very happy with it.

Good luck!
E
 
You must log in or register to reply here.
Back
Top