Select Crude Oil Spreads
- Thread starter bone
- Start date
Can you humor me and offer some comments on the Z1/Z2 spread? I've been watching it for months but cannot connect it to moves in the front. Am I off the range? Is it a standard bull/bear spread?
Also, is that last chart the Z1/12/13 fly?
Also, is that last chart the Z1/12/13 fly?
Yes, that is the Dec 11-12-13 Fly.
Here is the CL Dec11-12 Calendar Spread overlaid with the continuous (rolled) front month crude future contract.
We had a really good SELL with multiple timeframe confirmation in it later in May at 125, and everybody covered between -150 and -200. Nothing in there since. We were big buyers in the HO U1-Z1 late in July and held that until last week or so.
Thank you, the continuation chart is illuminating.
Hey Bone,
I trade a lot of these strategies and so am interested in learning as much as I can - obviously I don't expect you to divulge your methods but I kind of want to ask you what you see in some of these markets.
The Oct/Dec Brent for example, obviously been pretty relentlessly up since the first week of August, I know for example a big bank cleaned up by buying this around the lows at the start of the month - however, my understanding of the move is that it is driven my fundamental news - force majure on Bonny Light, more Forties deferrals and a big Urals field undergoing maintenance all added up to a tight physical market, all the diffs increasing (i.e. Brent DFL's bid at dated plus a dollar, no offers - from dated minus 10 a week before) - the Gasoil Crack shows the same thing, gained a dollar and a half this month.
Now - my understanding is your methods are based in statistics - did you manage to generate a buy signal on the Oct/Dec? I would have thought it was too near the front for stats to be applicable. Is that why you included it?
Also, think the Z1Z2Z3 fly is interesting, because it's further out it's, IMO, a much better candidate for statistical analysis. But - again not asking you to go into specifics - the timeframe you have shown illustrates the current range nicely, sell around -$2 get long at $-3.40 ish - but if you zoom out a few more months this thing was trading $4 higher - it dropped, and then seemed to have a nice range of -$2 to -$2.60, but if you got long at -$2.60 it eventually broke out and you had to wear it a dollar offside for 6 weeks.
So I suppose my questions are, do you have some way of intrinsically valuing this - so that you are always getting short of it on the way down, and playing the mean reversion from the short side only? Would you have got caught in the breakout from -$2.60 to -$3.50 at the end of July - or would you view this as an acceptable degree/length of time to be offside on a trade? Or would you have flipped it?
Always see your posts and think it's brilliant that you are trying to go out and put this information out there - just want to try and get a better view on where you are coming from.
Cheers,
I trade a lot of these strategies and so am interested in learning as much as I can - obviously I don't expect you to divulge your methods but I kind of want to ask you what you see in some of these markets.
The Oct/Dec Brent for example, obviously been pretty relentlessly up since the first week of August, I know for example a big bank cleaned up by buying this around the lows at the start of the month - however, my understanding of the move is that it is driven my fundamental news - force majure on Bonny Light, more Forties deferrals and a big Urals field undergoing maintenance all added up to a tight physical market, all the diffs increasing (i.e. Brent DFL's bid at dated plus a dollar, no offers - from dated minus 10 a week before) - the Gasoil Crack shows the same thing, gained a dollar and a half this month.
Now - my understanding is your methods are based in statistics - did you manage to generate a buy signal on the Oct/Dec? I would have thought it was too near the front for stats to be applicable. Is that why you included it?
Also, think the Z1Z2Z3 fly is interesting, because it's further out it's, IMO, a much better candidate for statistical analysis. But - again not asking you to go into specifics - the timeframe you have shown illustrates the current range nicely, sell around -$2 get long at $-3.40 ish - but if you zoom out a few more months this thing was trading $4 higher - it dropped, and then seemed to have a nice range of -$2 to -$2.60, but if you got long at -$2.60 it eventually broke out and you had to wear it a dollar offside for 6 weeks.
So I suppose my questions are, do you have some way of intrinsically valuing this - so that you are always getting short of it on the way down, and playing the mean reversion from the short side only? Would you have got caught in the breakout from -$2.60 to -$3.50 at the end of July - or would you view this as an acceptable degree/length of time to be offside on a trade? Or would you have flipped it?
Always see your posts and think it's brilliant that you are trying to go out and put this information out there - just want to try and get a better view on where you are coming from.
Cheers,
Just to show my point on the ZZZ fly, here is the chart - it's on the weekly timeframe, which shows the last year of the strategy - for those of you who don't have charting packages for these babies 
http://quotes.esignal.com/esignalpr...chart.bardensity=LOW&x=56&y=13&chart.studies=
http://quotes.esignal.com/esignalpr...chart.bardensity=LOW&x=56&y=13&chart.studies=