Jan. 2013 Crack Spread

[stoic]

Jan. 2013 Crack Spread.

Jan. '13 CL, HO, RB in the 2-1-1, 3-2-1, and 5-3-2

 

[ogarbitrage]

Pays to own a complex refinery.

 

[cml2949]

You have to leg that spread together?

Or is there a spread market that you can buy/sell to get long/short those products ?

 

[stoic]

Quote from cml2949:

You have to leg that spread together?

Or is there a spread market that you can buy/sell to get long/short those products ?

You have to leg in. I believe the exchange attempted to have "Crack" contracts but trading was very thin.

 

[cml2949]

Okay seems like the only inter-commodity spread is between the WTI-Brent crude ..

 

[bone]

Quote from cml2949:

Okay seems like the only inter-commodity spread is between the WTI-Brent crude ..

Not true, there is a very good market for RB-CL and HO-CL exchange supported on a 1:1 basis for Nymex. And ICE will do the GasOil/Brent Crack on a 4:3 basis. And you would never be able to leg them better on a consistent basis yourself, even with an AutoSpreader.

 

[cml2949]

Oh yes, I've seen the gasoil crk plus brent crude...

The volume is pretty light, since you have to trade 4:3 the 2nd bids and offers only amount to 12 lots or so, which is like 1-3 contracts per se

I'm not familiar with how the ho-cl / rb-cl volumes are on the nymex ..

Are those the type of products you try to get an edge on the legs and get out in the spread markets?

Like doing calendar spreads?

 

[bone]

Quote from cml2949:

I'm not familiar with how the ho-cl / rb-cl volumes are on the nymex ..

Are those the type of products you try to get an edge on the legs and get out in the spread markets?

Like doing calendar spreads?

1. Not unless you are leasing a seat and getting Member fees.
2. Not unless you enjoy getting flipped and picked off on a routine basis.
3. We trade these Cracks with longer timeframes in mind in terms of modeling and trade holding periods.
4. You'll get a very nice exchange SPAN initial margin credit for all of these spreads. For the 1:1 HO-CL spread, the initial margin credit is 80 % from the CME.

The time and energy and concentration you would need to employ legging these beasts manually can be put to much better and more productive uses elsewhere, and that is my own personal opinion. If you are doing it and killing it, then fantastic.