My energy trades
- Thread starter TraDaToR
- Start date
Can you expand on how you deseasonalize the curve, or post a chart?
Oil price went down initially way before inventory news was out. then it reverse and went up alot.
There are simply too many factors that influence the price ( inventory news, Iran sanction, hurricane, tweets ....).
at times, out of no where , it moved suddenly.
It's a feature of Seasonalgo forward curves. I guess they just do an average of the spread over x years and make the difference with the current value. Like if ZWZ18/H19 =-19 but the average value of it over 10 years is -21, then the deseasonalized curve will show a +2 inversion. I guess it is just that.
I see, it's from Seasonalgo. I don't think they deseasonalize the way you describe, they probably use PCA or some other (complex) method.
I was thinking about how one could use a deasonalized curve as part of a trade setup. If you can determine the seasonal component of the current price, and calculate a theoretical seasonal value based on a seasonal price model, then you could compare the actual to theoretical and see if the seasonal component is over/under valued. Ideally, you would try to arb the spread, but that's not practical since there is no theoretical trading instrument to trade. Just thinking out loud...
https://in.reuters.com/article/colu...lummet-as-trump-trade-war-bites-idINKCN1MS0FR
"Perhaps the irony of the collapse in China’s energy imports from the United States was that this was the area most likely to deliver Trump’s much-sought lowering of the trade deficit between the pair.
If China had continued to buy increasing volumes of U.S. crude, LNG and coal, this would have been far more effective at lowering the trade deficit than Trump’s chosen path of imposing tariffs on $200 billion of imports from China.
Crude oil imports from the United States are expected to have dropped to zero in October, according to vessel-tracking and port data compiled by Refinitiv."
"Perhaps the irony of the collapse in China’s energy imports from the United States was that this was the area most likely to deliver Trump’s much-sought lowering of the trade deficit between the pair.
If China had continued to buy increasing volumes of U.S. crude, LNG and coal, this would have been far more effective at lowering the trade deficit than Trump’s chosen path of imposing tariffs on $200 billion of imports from China.
Crude oil imports from the United States are expected to have dropped to zero in October, according to vessel-tracking and port data compiled by Refinitiv."
The brent/WTI is quite rich right now. There are some seasonal trades shorting brent/ long WTI with good historical performances. But the fundamental picture doesn't support it IMO : Iranian sanctions, saudi incertainties( ...) are mainly putting an upward risk on brent while new pipelines in Permian in 2019 may flood WTI markets. Has someone pulled the trigger on this trade? Why?
I see you have discussed NG a bit, is there a clear answer why the NGF19-NGG19 spread (for example) have moved to these extremes/historical highs?
Also, how are you guys finding all of the information you have on fundamentals/news? For example TraDaToR latest post regarding Iranian sanctions and such.
Also, how are you guys finding all of the information you have on fundamentals/news? For example TraDaToR latest post regarding Iranian sanctions and such.