RBOB Crack Spreads

bone

bone

60 tic average true range and has been a dream to trade, very faithful to it's trend bias. RBOB Crack has been very consistent for clients since about February. HO Crack will lay low until October or so.

ICE Gas/Oil Crack - legged 1:1 versus Brent using an automated spread execution platform, also trades and models very well for us. I have a client in Australia who has pretty much forgotten about the SFE 90 Day Bills to concentrate on this space during early European hours.
 
Bone, forgive my ignorance here:

Are you taking the other side then of the hedger's position, or the same, or can be either?

Have your people ever worked with the NYMEX Crack Spread Futures contract?

All this is a bit new, so bear with me - and thanks!
 
1. The Cracks I am referring to are Nymex futures products involving the RBOB Gasoline vs. WTI Crude Oil contract, and the Heating Oil vs. WTI Crude Oil contract. Myself and my clients almost always trade the exchange-support implied futures spread as one product instead of legging the components. ICE also has a Gas/Oil versus Brent Crude crack spread that is exchange-supported, but unlike the U.S. we almost always leg those manually for proprietary reasons.

2. I have no earthly idea who is on the other side of my electronic trades - and I don't want to know because I don't want to be spooked out of taking it. We have a technical trading system with a largely mechanical entry signal, and the exit is a pre-determined risk/reward target. Even if I'm trading OTC Clearport or ICE through a voice broker, I usually don't know who took the other side of the trade unless I download the ClearPort Portal sheets for the day.
 
Quote from bone:

1. The Cracks I am referring to are Nymex futures products involving the RBOB Gasoline vs. WTI Crude Oil contract, and the Heating Oil vs. WTI Crude Oil contract. Myself and my clients almost always trade the exchange-support implied futures spread as one product instead of legging the components. ICE also has a Gas/Oil versus Brent Crude crack spread that is exchange-supported, but unlike the U.S. we almost always leg those manually for proprietary reasons.

2. I have no earthly idea who is on the other side of my electronic trades - and I don't want to know because I don't want to be spooked out of taking it. We have a technical trading system with a largely mechanical entry signal, and the exit is a pre-determined risk/reward target. Even if I'm trading OTC Clearport or ICE through a voice broker, I usually don't know who took the other side of the trade unless I download the ClearPort Portal sheets for the day.
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Thanks for the reply, bone!

As I understand it, the commercial will buy oil futures and sell futures for the refined product to hedge their risk of adverse price movement.

While not wishing to intrude on proprietary trading strategies, I was just asking if you trade in the same direction as the hedgers - buying the oil futures, and selling the product futures - or if you're taking the other side, or, at times, both. Sounds like perhaps it depends upon what the spread itself is doing, not the hedging considerarions a producer would have.
 
Trader56:

"Sounds like perhaps it depends upon what the spread itself is doing, not the hedging considerarions a producer would have"

Bingo!

It's not that I don't care what the producers are doing, but price is price, and I get paid on price.
 
when the producers come in they move markets, I would think many trades being on the side of the producers or hedgers or whoever it is is usually a good idea. Especially seasonally if they come in every year and do it. But of course sometimes the macro market takes over such as last year when the crack was at 0, that would have been a nice buy.
 
Quote from bone:

60 tic average true range and has been a dream to trade, very faithful to it's trend bias. RBOB Crack has been very consistent for clients since about February. HO Crack will lay low until October or so.

ICE Gas/Oil Crack - legged 1:1 versus Brent using an automated spread execution platform, also trades and models very well for us. I have a client in Australia who has pretty much forgotten about the SFE 90 Day Bills to concentrate on this space during early European hours.
More...

Maybe I misread the entries, but isn't the crack spread Ice gas oil (ipe) - Ice brent (ipe) a 4:3 ratio with the spread market only allowing you to trade 4 lots ..

https://www.theice.com/productguide/ProductDetails.shtml?specId=231

Where do you get that it is 1:1 ?

When you trade Nymex futures products involving the RBOB Gasoline vs. WTI Crude Oil contract, and the Heating Oil vs. WTI Crude Oil contract, do you just leg into the spreads and leg out since there is no cross exchange spread market?

I'm not trying to call you out, but I'm just curious on the information your putting out there

bmm
 
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