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The CL Crude-analysis Thread
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The CL Crude-analysis Thread

  #2231 (permalink)
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Whats the significance of these new releases? If I remember, the inventories is the big one and creates volatility but how do the others relate? The weekly crude stock is released the day before but how does it differ to the inventories data? And whats 'crushing oil inventories' doing there? What weight does that data carry?

API Weekly Crude Oil Stock

Crude Oil Inventories
Cushing Crude Oil Inventories

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  #2232 (permalink)
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Grantx View Post
Whats the significance of these new releases? If I remember, the inventories is the big one and creates volatility but how do the others relate? The weekly crude stock is released the day before but how does it differ to the inventories data? And whats 'crushing oil inventories' doing there? What weight does that data carry?

API Weekly Crude Oil Stock

Crude Oil Inventories
Cushing Crude Oil Inventories

The American Petroleum Institute ("API") [ https://www.api.org/ ] is a US Trade Organization representing the oil industry. They release their estimate of US oil storage changes on Tuesday evening. I do not know how they perform their calculations, but participation is voluntary. The US Governments Energy Information Administration ("EIA") [ https://www.eia.gov/ ] issues an official oil production and storage report on Wednesday morning. Participation/Reporting is compulsory and as such is viewed to be more accurate of the two. While you would expect the two reports to be very similar, they can and do vary significantly!

For reporting purposes the US is divided into 5 regions or PADD's. PADD 1 is the East Coast, PADD 2 is the Midwest (which includes Cushing), PADD 3 is the Gulf Coast and by far the largest, PADD 4 is tiny and is the Rockies and PADD 5 is the West Coast. Since PADD 4 is so small, and since there is no way to get oil across the Rockies from the West Coast, people focus on the storage numbers for PADDS 1-3.

Does that answer your question?

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SMCJB View Post
The American Petroleum Institute ("API") [ https://www.api.org/ ] is a US Trade Organization representing the oil industry. They release their estimate of US oil storage changes on Tuesday evening. I do not know how they perform their calculations, but participation is voluntary. The US Governments Energy Information Administration ("EIA") [ https://www.eia.gov/ ] issues an official oil production and storage report on Wednesday morning. Participation/Reporting is compulsory and as such is viewed to be more accurate of the two. While you would expect the two reports to be very similar, they can and do vary significantly!

For reporting purposes the US is divided into 5 regions or PADD's. PADD 1 is the East Coast, PADD 2 is the Midwest (which includes Cushing), PADD 3 is the Gulf Coast and by far the largest, PADD 4 is tiny and is the Rockies and PADD 5 is the West Coast. Since PADD 4 is so small, and since there is no way to get oil across the Rockies from the West Coast, people focus on the storage numbers for PADDS 1-3.

Does that answer your question?

Does indeed! Thank you.

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  #2234 (permalink)
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My pleasure

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Crude Margins coming down
  • March down $375 to $3900
  • Apr-Aug down various to $3850
  • Sep19-Aug20 unch/down little to $3500/3750
  • Sep20-Jun21 down $200-400 to $2700-3200
  • Oct21 on back down $500+ to approx $2500
So biggest drops in the way way back!

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  #2236 (permalink)
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SMCJB View Post
Crude Margins coming down
  • March down $375 to $3900
  • Apr-Aug down various to $3850
  • Sep19-Aug20 unch/down little to $3500/3750
  • Sep20-Jun21 down $200-400 to $2700-3200
  • Oct21 on back down $500+ to approx $2500
So biggest drops in the way way back!

I take it that's because the volatilty has somewhat reduced from Oct-Dec '18 levels?

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What happens to back month spreads when front month expires?

Anything?
Am i right in assuming Dec 19 or June 20 prices will not change when March expires, rolls over into April or if not, what will the effect be?

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jokertrader View Post
Anything?
Am i right in assuming Dec 19 or June 20 prices will not change when March expires, rolls over into April or if not, what will the effect be?

Strange question. Dec19 is Dec19. The price is the price of crude delivered rateably in December, irrespective of what contract is currently prompt. When March expires, Dec19 will go from being the 10th CL Contract to the 9th CL contract. Contracts on different parts of the curve move and behave in different ways. So as contracts move towards expiry their behavior changes. It's still the same contract though.

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CL big order sweeping through 46 price levels on Valentine's Day

I thought I'd post this for anyone else who might have been caught in that anomalous event mentioned by @Daytona in the chat last week.

Essentially what happened was that a large sell order swept through 46 price levels which means anyone who was long and had a tight stop loss set would not have been able to get out of the trade.

CME in these cases changes arbitraritly the stop market order to a limit order further down (further up for shorts). The distance is determined by the CME according to the product you are trading.

They do so to avoid, according to their webpage, that stop orders get filled at extreme prices.

They call it Stop Orders with Protection.



This event took place at 3 pm UK time on 14th Feb.

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CL-sweep.mp4 (6.28 MB, 19 views)
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xplorer View Post
I thought I'd post this for anyone else who might have been caught in that anomalous event mentioned by @Daytona in the chat last week.

Essentially what happened was that a large sell order swept through 46 price levels which means anyone who was long and had a tight stop loss set would not have been able to get out of the trade.

CME in these cases changes arbitraritly the stop market order to a limit order further down (further up for shorts). The distance is determined by the CME according to the product you are trading.

They do so to avoid, according to their webpage, that stop orders get filled at extreme prices.

They call it Stop Orders with Protection.



This event took place at 3 pm UK time on 14th Feb.

What is the best way to plot the curve? My thought was to use excel to plot the spread between March / April then April /May and so on. Would this work?

Sent using the futures.io mobile app

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