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The CL Crude-analysis Thread
Started:December 17th, 2014 (02:33 PM) by tturner86 Views / Replies:125,568 / 1,754
Last Reply:December 4th, 2016 (01:02 AM) Attachments:450

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The CL Crude-analysis Thread

Old April 30th, 2015, 04:45 PM   #1061 (permalink)
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SMCJB View Post
I have WebICE and I believe I can access most of the Energy Contracts (US NatGas, US Power and all the Oil).
They are also all visible in TT, although I believe getting access to any of the legacy S2F products can be challenging.
What specifically u looking for?

I do apologize for late response and thank you for offering help. I was looking for EII and Henry cash (though offtop here, sorry for that), how they traded and did end up yesterday (I was out of the office). Re accessibility on TT, I wasn't really aware that ICE US Energy contracts are available. I use direct platform to access them and we currently don't have TT. I think that is a great additional argument to get TT back now.

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Old April 30th, 2015, 04:56 PM   #1062 (permalink)
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Another interesting fact regarding rallies in crude that since recently USO faces heavy redemption every time prices move higher. Can't upload pic now, but will try to do it later.


CME just decreased margins for almost all oil contracts, for CL contracts margin requirements decreased by $650 effective after close of business on May 1.
The detailed info can be found here
http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv15-117.pdf


Last edited by Alphachase; April 30th, 2015 at 05:39 PM. Reason: Added CME performance bonds for crude
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Old April 30th, 2015, 06:05 PM   #1063 (permalink)
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Alphachase View Post
I was looking for EII and Henry cash (though offtop here, sorry for that), how they traded and did end up yesterday (I was out of the office).

Sorry don't know what EII is. A google search for ICE EII returned ICE's EIA contract. If that's what you meant it traded 92 once today 14mins before the number came out at 81. With regards to Henry Hub, the actual physical is a bilateral-only market and I can't see it. The swing swap I can see though. May Henry swing swap traded 56.5/day (~1700 lots). Last trade on the May Swing/June LD1 spread was -3.5c but VWAP over the day was -3.0c. Settle was -3.3c so still right around where we were yday before today's 12c move.


Alphachase View Post
Re accessibility on TT, I wasn't really aware that ICE US Energy contracts are available. I use direct platform to access them and we currently don't have TT. I think that is a great additional argument to get TT back now.

It's all there on TT if you can get ICE to authorize the gateway. They are still very protective about all the Energy contracts. Saying that if you have (legal) WebICE access you should be able to get access thru TT. I don't know whether you have ICE mobile but word of warning if you do - ICE Mobile doesn't work for ICE ID's enabled for TT!

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Old May 5th, 2015, 08:17 PM   #1064 (permalink)
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SMCJB View Post
Sorry don't know what EII is. A google search for ICE EII returned ICE's EIA contract. If that's what you meant it traded 92 once today 14mins before the number came out at 81. With regards to Henry Hub, the actual physical is a bilateral-only market and I can't see it. The swing swap I can see though. May Henry swing swap traded 56.5/day (~1700 lots). Last trade on the May Swing/June LD1 spread was -3.5c but VWAP over the day was -3.0c. Settle was -3.3c so still right around where we were yday before today's 12c move.

It's all there on TT if you can get ICE to authorize the gateway. They are still very protective about all the Energy contracts. Saying that if you have (legal) WebICE access you should be able to get access thru TT. I don't know whether you have ICE mobile but word of warning if you do - ICE Mobile doesn't work for ICE ID's enabled for TT!

Many thanks for that. Yes, EII is storage number. I'll check with ICE and TT once get back from vacation.

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Old May 6th, 2015, 10:29 AM   #1065 (permalink)
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Crude ETF

Futures Edge on FIO
I should have consulted someone here before I chose to buy the UCO etf to represent my speculation in crude. I bought a small position back on Dec. 11, 2014 as a positional trade ( intend to hold for years ). I expected the price to track WTI Crude. At the time I bought UCO @ 14.50, WTI was about $63. Today WTI is about $62. I checked on my position and as of yesterday’s close it’s only $10! Now I dig into the prospectus and I find that WTI crude is the largest holding and there is a list of other holdings called Bloomberg WTI Crude Oil subindex swap – [bank xyz]…and some cash.
Buyer beware. Is there an ETF that tracks WTI crude more accurately?

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Old May 6th, 2015, 11:08 AM   #1066 (permalink)
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timendaGain View Post
I should have consulted someone here before I chose to buy the UCO etf to represent my speculation in crude. I bought a small position back on Dec. 11, 2014 as a positional trade ( intend to hold for years ). I expected the price to track WTI Crude. At the time I bought UCO @ 14.50, WTI was about $63. Today WTI is about $62. I checked on my position and as of yesterday’s close it’s only $10! Now I dig into the prospectus and I find that WTI crude is the largest holding and there is a list of other holdings called Bloomberg WTI Crude Oil subindex swap – [bank xyz]…and some cash.
Buyer beware. Is there an ETF that tracks WTI crude more accurately?

ProShares Ultra DJ-UBS Crude Oil: NYSEARCA:UCO quotes & news - Google Finance
ProShares Ultra DJ-UBS Crude Oil seeks daily investment results that correspond to twice (200%) the daily performance of the Dow Jones UBS Crude Oil Sub-Index.


Quoting myself elsewhere on leveraged ETFs

SMCJB View Post
There may way be better resources out there on this but I happened to see something on ETF Decay recently - and was very surprised - and this is the first decent looking article google returned.

Seeking Alpha :- What You Need To Know About The Decay Of Leveraged ETFs
... To understand what is beta-slippage, imagine a very volatile asset that goes up 25% one day and down 20% the day after. A perfect double leveraged ETF goes up 50% the first day and down 40% the second day. On the close of the second day, the underlying asset is back to its initial price:

(1 + 0.25) x (1 - 0.2) = 1

And the perfect leveraged ETF?

(1 + 0.5) x (1 - 0.4) = 0.9

Nothing has changed for the underlying asset, and 10% of your money has disappeared. Beta-slippage is not a scam. It is the normal mathematical behavior of a leveraged and rebalanced portfolio... more ...

Of course if your day trading it may not have the same effect.

As a rule of thumb you will always be better off trading the underlying futures contract rather than ETF if you have the means to do it.

Something else to always consider when trading/investing in commodity ETFs is the roll yield.

The roll yield is the yield that a futures investor captures when their futures contract converges to the spot price; in a backwardated futures market the price rolls up to the spot price, so the roll yield is positive, whereas when the market is in contango the price rolls down to the spot price, so the roll yield is negative.

More...
Roll yield - Wikipedia, the free encyclopedia

Crude currently is and has been for several months been in very steep contango. A combination of this and the leverage issue identified above is the reason your ETF has massively under-performed the market.

To answer your other question, the standard, most common, 1x Crude ETF is USO

United States Oil Fund LP (ETF): NYSEARCA:USO quotes & news - Google Finance

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Old May 6th, 2015, 12:02 PM   #1067 (permalink)
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The drop in oil inventories reported today was almost entirely caused by the 6.3 mil barrels of lower oil imports for the week compared to the prior week. I don't see any news that the Houston Ship Channel was closed.

Anybody know why imports were down so much?

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Old May 6th, 2015, 01:01 PM   #1068 (permalink)
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ron99 View Post
The drop in oil inventories reported today was almost entirely caused by the 6.3 mil barrels of lower oil imports for the week compared to the prior week. I don't see any news that the Houston Ship Channel was closed.

Anybody know why imports were down so much?

Planned and current outages are highest since mid-April (close to 0.9M BPD), commercial stocks are significantly higher than year ago.

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Old May 6th, 2015, 01:27 PM   #1069 (permalink)
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US Crude Oil input to refineries is very high and increasing right now.

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Old May 6th, 2015, 01:57 PM   #1070 (permalink)
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Product exports and domestic consumption were also higher, domestic crude production hovered at 9.369M. Drop in crude imports last week caused by PADD V, PADD III and PADD I from what I can see now. Outages affected almost 5% of total capacity of 18.3M. I think imports will be back by the mid-May. I think drop in imports mostly related to storage capacity during Apr-May maintenance period.


Last edited by Alphachase; May 6th, 2015 at 02:14 PM.
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