Select Crude Oil Spreads

Be pleased to, this is the chart of the April/May Crack box:

http://quotes.esignal.com/esignalpr...chart.bardensity=LOW&x=45&y=12&chart.studies=

A crack box is long one Gasoil Crack and short the next, although it's better to execute via the individual calendar spread markets. Buy 4 Gasoil J/K and sell 3 Brent J/K, it's been mean reverting nicely for several months.

This is the Jan/Feb Crack Box - same thing just a few spreads higher:

http://quotes.esignal.com/esignalpr...E&chart.bardensity=LOW&x=0&y=0&chart.studies=

It's been trending for the last few months. I don't really have any analytical way to explain why one is different to the other, I have an idea why it would be fundamentally, but it doesn't really matter. Like Bone's stuff you need professional level market access to make it worth/even possible to trade this but it is obviously an interesting market.

Do you trade these Bone?
 
Quote from rose:

Do you trade these Bone?
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Not in ICE, but in the Nymex analog and much closer to the front of the curve. Thanks for sharing - great add !

Do you trade any Nymex 3:2:1 Cracks ?
 
Not traded the 321's yet but am planning to look into them - currently trade Brent Gasoil and WTI - used to like trading the arbs/boxes between Brent and WTI but I can't logically justify doing that anymore, so I've been meaning to get into other markets vs WTI, still within energy.

Do you trade flies etc. in Henry Hub? No experience trading it but spoke to a broker who thought very few ppl traded nat gas flies, more spread based market. Interested to hear your thoughts.
 
Is this the right formula to chart the 321:

http://quotes.esignal.com/esignalpr...chart.bardensity=LOW&x=13&y=10&chart.studies=

And is the execution buy 3 crude, sell 1 HO and 2 RBOB?

So, am I right in saying that intuitively, for the Dec contract given, there is roughly $32 of margin in a barrel for a refiner? and that this has got so large (trended down so much) because there are only about 2 places in the world refining WTI - everyone else is refining LLS etc.? So HO/RBOB price reflects fact that LLS/Brent/Mars/whatever are all premium to good old wti?
 
This is the way I've always done them:

2vje5o1.png


So, if I want to buy it, I buy two HO Cracks and I buy one RBOB Crack, which would leave me long 2 HO, long 1 RBOB, and short 3 CL.
 
It makes me feel good about myself that I can actually follow what you guys are talking about and I haven't even finished intermediate econ at school. lol :)

Do either of you guys follow refinery outages? I'm trying to learn the oil economy beyond the charts and looking for relationships between inventorys / unplanned outages / total outages / price action of different oils and spreads (I have access to a bloomberg terminal). I've found some compelling charts but I want to know if they are coincidences or what.

Say this is for purely academic purposes... could you guys throw me a bone (no pun intended :P ) in this regard? :D

I'm also curious, how long would it take you guys to get a fill on a fly in these markets? Back when I was dinking around with flys via GOOG options I would have to sit for quite a while and my bids weren't too far from the market. :( Or do you usually punch in.
 
Quote from murphmack:

It makes me feel good about myself that I can actually follow what you guys are talking about and I haven't even finished intermediate econ at school. lol :)

Do either of you guys follow refinery outages? I'm trying to learn the oil economy beyond the charts and looking for relationships between inventorys / unplanned outages / total outages / price action of different oils and spreads (I have access to a bloomberg terminal). I've found some compelling charts but I want to know if they are coincidences or what.

Say this is for purely academic purposes... could you guys throw me a bone (no pun intended :P ) in this regard? :D

I'm also curious, how long would it take you guys to get a fill on a fly in these markets? Back when I was dinking around with flys via GOOG options I would have to sit for quite a while and my bids weren't too far from the market. :( Or do you usually punch in.
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I keep abreast of refinery outages, in general I don't think it affects the way I trade much at all - but I don't do much front end so that's probably why.

These are futures flies, rather than options - most of the strategies I trade are two points wide synthetically i.e. 0.08 bid at 0.10, I can lift the offer, try and make the bid, or more usually work the mid price - it depends massively on the market - plus I'm trading these for pretty small profit targets so entry is critical, it can be an 8/10 market, but only 10's are trading and my entry is 9 - so I don't trade - massively varies.

It's a patience thing for me, not a fast in/out thing.
 
Cheers for that Bone, makes more sense. You come out with a figure of $1.11 roughly - does that equate to refining margin? Obviously can't be per bbl of crude, so is it to make a gallon each of HO and RBOB - which combined are worth about $6 - requires $4.89 of crude?

Just like to get my head round it - think that makes sense...
 
3:2:1 Crack with "somewhat" standard 2 RBOB:

2zgrj9j.png


There is no truly "standard" crack spread configuration in the eyes of a refinery and from a pure analog hedging aspect. Each refinery's output varies according to the way that particular plant is configured for a 'run' at that point in time. That configuration is seasonal and is demand-dependent. Refiners have become so diversified these days in terms of equipment and productivity flexibility.

In that sense, the 1:1 Cracks are much more 'standard' in terms of might might be universal in application across the industry. The 1:1 Crack has always been used to fix refiner margins. Conventional wisdom dictates that gasoline output is approximately double that of distillate fuel oil/kerosine/heating oil - which of course prompts many commercials to trade the 3:2:1 with the 2 RBOB configuration. Right now, with the forthcoming seasonal heating demand turning over the run equipment configuration, refiners are likely to actually use something with lower gasoline yields, like the 5:3:2 crack.
 
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