The ACD Method

Maverick74 · Oct 31, 2016

04:51:02 PM Colonial mainline shut due to fire.

OMG this shit is so suspect.

logicaltrader · Oct 31, 2016

Insane. Front RB popped 21.5 cents, CENTS!

Maverick74 · Oct 31, 2016

logicaltrader said:
Insane. Front RB popped 21.5 cents, CENTS!

Yeah this is really suspicious. The news comes out right after markets close and on delivery day. And this BS caused almost every spread in the energy universe to go apeshit. I was luckily on the right side of the front heat spread.

Did you catch any of this logicaltrader?

Maverick74 · Oct 31, 2016

Maverick74 said:
Got Coal?

Great article from Reuters on the move in coal.

http://www.reuters.com/article/us-coal-price-winners-idUSKBN12V011

i960 · Oct 31, 2016

My profit target got hit on a dec RB:HO ICS long I had on for weeks. Later when I went and looked at it on a tick chart I found out that I was 1 of 2 lots filled at the dead nuts top of the move. Rarely ever happens.

logicaltrader · Oct 31, 2016

Maverick74 said:
Yeah this is really suspicious. The news comes out right after markets close and on delivery day. And this BS caused almost every spread in the energy universe to go apeshit. I was luckily on the right side of the front heat spread.

Did you catch any of this logicaltrader?

I was flat all over and I got lucky because I almost carried an outright short position into tomorrow :-)

.

This screws up everything for the new month. I have no idea what I should do with the monthly pivot etc. I mean, the high of the Dec/Jan RB spread at 990 is exactly the average half yearly range from the lows earlier this month. Screws up my entire model.

logicaltrader · Oct 31, 2016

For anyone interested, these are the hourly charts for the past few days for front RB and the front RB spread

Maverick74 · Oct 31, 2016

logicaltrader said:
For anyone interested, these are the hourly charts for the past few days for front RB and the front RB spread

View attachment 167693

View attachment 167695

And just to give our fellow home gamers some perspective here, the ATR on RB (Dec/Jan) is about 45 ticks a day. Today's "after hours move" was more then 20 times the daily ATR!!!!!!!!!

jj90 · Oct 31, 2016

For those of us who don't trade energy spreads, give us some color on the magnitude of the move.

Is this like GBP/USD on Brexit? SPX on the TARP vote day(if you remember that far back)? ES in flash crash? etc etc...

logicaltrader · Nov 1, 2016

jj90 said:
For those of us who don't trade energy spreads, give us some color on the magnitude of the move.

Is this like GBP/USD on Brexit? SPX on the TARP vote day(if you remember that far back)? ES in flash crash? etc etc...

A 21.5 cent move in front RB is like the BREXIT move on the ES. In ACD terms, that move in the ES went from the QAUp all the way to the QADn in a matter of hours. This one in RB peeked past the QAUp but was about 5-6 cents short of the QADn when it started. So in that sense it was slightly smaller than the BREXIT move.

In terms of dollars, the move in the ES was about 120 points which would be a $6000/contract move. The RB move is a $9000/contract move from the last settle to the high and this move was made in under 2 minutes while the ES move took 7 hours.

The move in spreads is much bigger in magnitude like Mav said because of in terms of the ATR, its almost 15-20 times the ATR. Think about it this way, if you are spec trading this instrument with the biggest set of brass ones, you do not have the capacity of even a 5 ATR stop. I promise you, anyone spec short the RB front spread is shitting all over right now because we are still hanging around +750 after having settled around parity. Plus, this time, the pipeline issue is far severe than it was 2 months ago when we had a similar spike. Back in Sep, the pipeline issue gradually developed over a day or so and the front rallied about 6-7 cents over 4 days. Today's move was an almost 10 cent move in a matter of a couple of minutes.