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The CL Crude-analysis Thread


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The CL Crude-analysis Thread

  #1881 (permalink)
 
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 SMCJB 
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jokertrader View Post
If someone can suggest a focus area would be great.. like look only at 3 month calendars. or look at flys at least 6 months out.. or some examples.. would be great..

For 3 month spreads only look at HMUZ. There's not much liquidity outside of the 4th spread. Currently H8M8
For 6 month spreads only look at M and Z. There is good liquidity in the first 3 spreads (m7z7, z7m8, m8z9), okay liquidity in the next 2 (z9m0, m0z0) and nothing past that.
For 12 month spreads you can look at the first M-M spread but other than that only look at Z-Z spreads. There is good liquidity in the first 2 spreads (z7z8, z8z9), okay liquidity in the next (z9z0), z0z1 it depends on the day anything past that trades by appointment only.
I find building forward curves of the 1,3,6 & 12 month spreads to be informative.

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  #1882 (permalink)
 
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SMCJB View Post
Yes it portrays a very different picture...



And just to show this is non-fixed price dependent


Can people see 1 or 2 images here? On my laptop I see 2 but on my desktop the first image was missing.

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  #1883 (permalink)
 ron99 
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SMCJB View Post
Can people see 1 or 2 images here? On my laptop I see 2 but on my desktop the first image was missing.

one. Edit post and replace first image. Or repost.

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  #1884 (permalink)
 jokertrader 
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  #1885 (permalink)
 
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nice. what do all the As and Bs mean?

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  #1886 (permalink)
 jokertrader 
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Note: No idea yet.. just starting to play around (need to ask CQG whether they can build dashboards flexible for 3 month, 6 month etc - will be nice)

here is the link
Crude Oil Exchange-Traded Spread Matrix | [AUTOLINK]CQG[/AUTOLINK] News

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  #1887 (permalink)
 
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 SMCJB 
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There's a lot of information on there.
One thing that is a great idea (and something I do myself) but don't like how they've done it is the "Calendar Spread Forward Curve' in the bottom right. Would be much better if it showed May/Jun, Jun/Jul, Jul/Aug, Aug/Sep etc rather than May/Jun, May/Jul, May/Aug, May/Sep etc

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  #1888 (permalink)
 jokertrader 
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1) Flat price? to see backwardation/contango
2) 1 month calendar forward curves - so May/June, July/Aug etc
3) 3,6,12 month calendars as above
4) 3 month flys individually
What is the advantage for the flys have a scatter diagram vs price - not sure what this tells us.. (the M7 vs M7,H7,M8 fly)

Now

Where does it make sense to chart the flat price on these forward curves? I see its on the fly u charted

please do stop me if im asking too many detailed questions in an open forum
I will get to modeling them - hope CQG can create dashboards in excel or show me how to do it based on calendar prices

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  #1889 (permalink)
 jokertrader 
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though the guy taking the interview.. doesnt shut up

[yt]https://www.youtube.com/results?search_query=saul+knapp[/yt]

and his earlier chat


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  #1890 (permalink)
 jokertrader 
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SMCJB View Post
There's a lot of information on there.
One thing that is a great idea (and something I do myself) but don't like how they've done it is the "Calendar Spread Forward Curve' in the bottom right. Would be much better if it showed May/Jun, Jun/Jul, Jul/Aug, Aug/Sep etc rather than May/Jun, May/Jul, May/Aug, May/Sep etc

Is this what you meant?

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