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The CL Crude-analysis Thread
Started:December 17th, 2014 (02:33 PM) by tturner86 Views / Replies:125,150 / 1,753
Last Reply:3 Hours Ago (02:57 PM) Attachments:450

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The CL Crude-analysis Thread

Old February 25th, 2015, 01:46 PM   #461 (permalink)
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@mfbreakout

Yes sir I could not agree more

I try to simplify things as much as possible as often as possible

Full disclosure: my AADD will kick in now and then........ or as my wife puts it Ewwwwww Shiny

-Bill

My wife grew up in Prospect area and we have an uncle who lives in prospect. Next time i am in KY, will give you a ring.



My posts are not meant to give financial advice neither do they imply that my method is special. "THIS IS WHAT I COULD BE IF I HAD A TOTALLY CARE FREE STATE OF MIND DURING TRADING" Mark Douglas.
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Old February 25th, 2015, 03:57 PM   #462 (permalink)
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Praying that CL pulls back , now that i got out. There are no signs of CL pulling back though but i did not had enough contracts on to cover some and leave the rest. Decision to cut down size at 49.18 turned out to be a BAD ONE. No complaints just poor execution. If 53.40 area get busted, i will go long on pullbacks. If 53.40 area is held during lunch slow period then getting out at 49.84 is a good trade. 48.43 to 49.30- that's quite a move and just common sense that it's time to take some rest.


NOTE: My thinking that CL may pull back to 48.80 area etc. is just a function of how much risk i had on. Apparently i had too much risk on for my risk profile. CL will do this and do that is just a function of how a trader is assessing RISK. It has no bearing on markets.

Longs and longs. We all have different targets, where and how to add but one thing was CLEAR- there were NO SHORTS after DOE report came out. What's next? I am trying to figure out if massive volume into close is a sign of exhausation or continuation during Globex.



My posts are not meant to give financial advice neither do they imply that my method is special. "THIS IS WHAT I COULD BE IF I HAD A TOTALLY CARE FREE STATE OF MIND DURING TRADING" Mark Douglas.
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Old February 25th, 2015, 06:29 PM   #463 (permalink)
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I believe your CSX example is reversed.
CSX use diesel to power loco's, hence we would say that their core position is short.
To hedge their core position they would need to buy diesel (hedges) that profit in a rally.
In reality while they are short diesel, they are actually short physical diesel and not necessarily short diesel price. As long as they retain the right to adjust pricing based upon fuel cost, there is an argument that they don't actually have diesel price exposure. Once they can no longer have the right to adjust pricing, that's when they are short phys AND short price and may need a hedge. An obvious example would be CSX enter into a 5 year Coal Haulage contract with somebody at a predetermined price. As soon as they do that they should lock in prices for the amount of diesel required over the next 5 years to transport said coal contract.

Thank you, makes sense

I guess it would be the same/ somewhat as a crude refiner in a "crack spread." IE @madLyfe post of Tasty Trade.

Paraphrase

"What you do with the distillate is whether you're long or short the crack spread... refiners are naturally long the crack spread... short /CL and long /RB or /HO."

And yes sir, I understand the fuel cost adjustments etc.

Again, thanks

-Bill_M

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Old February 25th, 2015, 11:24 PM   #464 (permalink)
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WilleeMac View Post
I guess it would be the same/ somewhat as a crude refiner in a "crack spread." IE @madLyfe post of Tasty Trade.

Paraphrase

"What you do with the distillate is whether you're long or short the crack spread... refiners are naturally long the crack spread... short /CL and long /RB or /HO."

Agreed. A refiner isn't short crude or long products but long the crack. To hedge their expsoure they need to sell cracks. If they buy crude they need to sell products to lock in the crack.

An extension of this discussion is the majors (BP, Exxon etc). Most people think of the majors as being long crude. In reality Majors, own production, own refineries, but they sell more gasoline at the pump than their refineries produce. Hence they are/can be actually naturally short the crack rather than long crude!

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Old February 26th, 2015, 01:05 AM   #465 (permalink)
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Futures Edge on FIO
More Random Musings of a Spread Trader
You may think what the hell is he talking about - but you may want to read nonetheless (yes its one word - just checked!)

A few months back I created a post about how things at Cushing were changing, and how the prompt structure of the Crude Oil Market has diverged from what was viewed as typical for the last 18 months. I'm not trying to say I predicted the market puke, because I definitely didnt, but it was an interesting observation in the change in market dynamics, right before we did drop 50%.

Right now, those curve dynamics have suddenly reversed.

I'm not trying to predict anything, just highlighting a potentially important market structure change.

The chart below shows the "Prompt Butterfly" (ie Month 1 - 2x Month 2 + Month 3) since Jan 1st 2014. As you can see, for the first half of last year, despite prices being high, and spreads also being high, the butterflies were continually negative, meaning spreads where in contango. Then in July/August last year that phenomenon changed and butterflies went positive. (Prompt Crude Prices peaked at $106.91 on 13-Jun-14 excluding expiration). Interestingly, despite the market dropping 50% the butterflies stayed that way - until this week! Note that this is not an expiration issue - March only just expired - and suddenly the JKM fly has plummeted with a month to go before expiry.

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Illustrated slightly differently the chart below shows the Prompt Month Future scatter plotted vs the Prompt Month Spread. Not surprisingly the lower CL goes the lower the spread goes.
A little bit surprising though is that the Prompt Month Spread put in long term lows today, despite the prompt month future being 14% above it's lows.

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Now, similair chart, Prompt Month Future scatter plotted vs the Prompt Butterfly (M1-2*M2+M3).
Very different relationship but another major outlier.
Last time the prompt month fly settled anywhere close to this level, CL was trading over $100.
This chart's y-axis is shortened for illustration purposes which meant that 4 data points all in the $90-$100/$1.01-$2.03 range are excluded.

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Both scatter charts roll to next month on expiration day. ie Expiration Day prices are NOT included for obvious reasons.
Happy Trading.

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Old February 26th, 2015, 08:31 AM   #466 (permalink)
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7.18 AM. Asian and European markets so far not too excited about buying CL at 51. Seems like some interest is around 50 area. Story is the same- long hold time to get some where. Trying small long around 50.20.

We as retail traders get too impressed by so called SMART money. I am looking from the outside and there is every reason to be impressed. Impeccable education right from first grade and on, Billions of $ AUM, big time fees, speaking , mingling at DAVOS and on and on. I do follow certain Macro Managers very closely to keep some macro perspective and not to not get totally lost in my own universe of 100 ticks.

Follwoing story is a good one. With all the systematic trading and top talent from around the world- annualized returns of around 11%. That's a remarkable return considering risk etc taken by the fund. But SMART money with Billions AUM have different set of limitations. We can beat 11% year after year because of our small size and a host of other reasons. Bottom line do not get too IMPRESSED by as to what SMART money is doing if you are a day trader or swing trader with 1-2 weeks time horizon.

" Leda Braga stood on a stage at Geneva’s InterContinental hotel in February and sang Pharrell Williams’s Happy. “Can’t nothing bring me down, my level’s too high,” she shouted to about 80 employees of Systematica Investments, her new hedge fund firm, her voice hoarse after a day of meetings. “Nobody wanted to sing in the beginning,” says Braga, called Lady Braga by some colleagues. “I believe in leading from the front, so despite my lack of talent, I did sing.”
Braga, a 48-year-old Brazilian with a doctorate in engineering, had reason to be upbeat. After 14 years at Michael Platt’s BlueCrest Capital Management, she struck out on her own on Jan. 1, taking with her the two main BlueCrest funds she oversaw. In the first month of trading after the split, her biggest fund, BlueTrend, returned 9.5 percent, one of the biggest gains for any hedge fund in January.
Now she’s managing more money than any other woman in sole charge of a hedge fund. Along with BlueTrend, which has assets of $8.4 billion and trades futures in equity, bond, foreign exchange, and commodity markets around the globe, Braga runs BlueMatrix, a $600 million fund that trades equities.
Braga says she and Platt had considered the split “on and off” for some time, and parted amicably. “Leda is a great friend of mine, and we are still equity holders in her business,” Platt said in an e-mail. The move came after BlueCrest was criticized by a hedge fund advisory firm for not providing enough information about a fund open only to BlueCrest employees. Chief Financial Officer Andrew Dodd said last year that BlueCrest has made “adequate” disclosures to investors about the fund.
11.8%
BlueTrend's annualized gain since it began trading in 2004
Braga’s BlueTrend and BlueMatrix are so-called systematic funds that rely on computer algorithms to make trades. “Systematic trading takes the emotion out of trading,” says Braga at her office in Geneva, overlooking the Swiss Alps. When a trader is forced to sell at a loss, “he takes that home with him,” she says. “A black box doesn’t care.”
Systematic investors program their computers to exploit correlations between stock and bond performance and other data, such as interest rates, economic growth, or even weather. “There’s a creative moment when you think of a hypothesis, maybe it’s that interest rate data drives” currency rates, she says. “So we think about that first before mining the data. We don’t mine the data to come up with ideas.”
Born and raised in Rio de Janeiro, Braga moved to London in 1987 to attend Imperial College, where she earned her doctorate. She spent about seven years as an analyst on the derivatives research team at JPMorgan Chase. There, she met Platt, who was on the bank’s proprietary-trading desk and left to start BlueCrest in 2000. Braga joined him the following year, managing $300 million for the BlueCrest Capital International fund. As her systematic strategy became more successful, she was given her own fund, BlueTrend, in 2004. It wasn’t until 2008, when her fund returned 43 percent during the worst year ever for hedge funds, that money began pouring in. BlueTrend’s annualized rate of return since it began trading on March 31, 2004, is 11.8 percent, compared with an 8 percent annualized return for the Standard & Poor’s 500-stock index.
Since Systematica separated from BlueCrest, its assets have grown to $9.2 billion from $8.5 billion. Braga says she’s planning to expand by creating new products, such as a fund that uses algorithms to trade over-the-counter derivatives and one that charges only management fees and doesn’t take a share of investing profits. Her standard fee is 1.5 percent of assets, plus 20 percent of profits.
BlueTrend’s assets have slumped from a peak of $15.4 billion in April 2013, when investors began pulling money after two mostly flat years. The fund declined 11.5 percent in 2013, then gained almost 13 percent last year. “Systematic models, like every other investment model, don’t work all the time,” says Ewan Kirk, chief investment officer of hedge fund Cantab Capital Partners and a friend of Braga’s. “We tend not to intervene with the car itself,” says Braga, who until recently rode a Ducati Monster 700 motorcycle. “But the engine gets fine-tuned.”
The bottom line: Braga manages more money—about $9 billion—than any other woman running a hedge fund.



My posts are not meant to give financial advice neither do they imply that my method is special. "THIS IS WHAT I COULD BE IF I HAD A TOTALLY CARE FREE STATE OF MIND DURING TRADING" Mark Douglas.

Last edited by mfbreakout; February 26th, 2015 at 08:45 AM.
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Old February 26th, 2015, 09:33 AM   #467 (permalink)
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M### F***

Nice stop run at 0820amET today

Grrrrrrrrrrrr, you bastard

-Bill

EDIT

Actually 0821

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Old February 26th, 2015, 09:38 AM   #468 (permalink)
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me too


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M### F***

Nice stop run at 0820amET today

Grrrrrrrrrrrr, you bastard

-Bill

EDIT

Actually 0821

yup, took me out as well....just entered long again.

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Old February 26th, 2015, 09:49 AM   #469 (permalink)
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What did make you considering longs? Just wondering. Front spreads and CL were completely disconnected yesterday and overnight.
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Old February 26th, 2015, 10:41 AM   #470 (permalink)
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long



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What did make you considering longs? Just wondering. Front spreads and CL were completely disconnected yesterday and overnight.
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yesterday rejection out of 48.50's then took off...overnight pull back to support. Markets out of balance... could be good for crude. I'm long again 49.55, must break 50.10 ish to validate.

targets??....who knows we'll see how the day plays out I'll revise later.


Johnny

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