With this move today WTI z7-z8-z8-z9.... all back in contango again for the first time in almost a month and only the 14th time in the last 96 days.
Right now the only part of the WTI curve backwardated is J8-M9 and thats only 24c.
z9-z0-z1 fly is (surprisingly to me) still 51c, down from a high of 70c ten days ago.

To put this in perspective, prior to Dec'16 the zzz curve had been in contango for almost 500 consecutive days and z9z0z1 had averaged -25c during that period. This is well illustarted by @CobblersAwls chart a few pages back.

Regarding the charts posted by Cobbler i am assuming this is post #1894 (thanks for that Cobbler)

Now my question is i can recreate that since those are all exchange flys and have volume

How do you chart synthetic flys? I tried charting the exchange traded flies and doesnt show up..i tried the z7,z8,z9 fly

of course i could do a difference and chart it so diff z7/z8 to z8/z9 and see what shows up (sorry traveling so cannot do that currently)

Wondering how you chart it on TT or bloomberg? or whatever u guys use

THANKS

When I chart flies I normally only look at EOD data.
During the trading day I have a spreadsheet that calculates what the true value of every contract is and then calculates what the implied value of the flies is from that. This will generally give you the same results as comparing the bid/asks of the two underlying spreads. So for z7/z8/z9 look at the the z7/z8 spread vs the z8/z9 spread. In this case both should be 1 tic wide, so worst case your fly 'value' is 2 ticks wide.

The formula in CQG is this

spread(CLES12Z7-CLES12Z8)

This can be brought up on a DOM as well.. not sure how well it would trade though
As i write this is see 0.14/0.16 on the Bid Ask on this synthetic ladder

z9-z0-z1 fly is (surprisingly to me) still 51c, down from a high of 70c ten days ago.

Was trying to visualize - so here is the chart

Yeap thats z7-z8-z9 and z9-z0-z1
Just curious can you chart spread(CLES12Z7-CLES12Z8-CLES12Z8+CLES12Z9)?

jokertrader 

Was trying to visualize

The thing that surprises me is the shape of the fly curve.
All CLZ butterflies... z789 +19, z890 +41, z901 +49, z012 +12, z123 -13, z234 -13
So

z789 22c under z890,
z890 8c under z901,
z901 37c over z012
z012 25c over z123 and
z123 flat to z234

Which is reflected in this wierd M shaped curve we have.
Unfortunately these are very difficult to trade.

The chart shows the Crude z7,z8,z9 fly (red) vs the Crude z9,z0,z1 fly (black)

Looks like the nearer fly moves a lot more vs the farther fly which is pretty static/gentle.

So is this a mean reversion trade?
Trade the closer fly anytime it moves away from the farther fly on a reversal for mean reversion

Example:

Feb 9th: -0.15 on the closer fly vs 0.340 on the farther fly
Enter Feb 10th: -0.12 for mean reversion to the farther fly
Exit: feb 21st: 0.21 when the lines intersect

spread(CLES12Z7-CLES12Z8-CLES12Z8+CLES12Z9) chart

jokertrader 

spread(CLES12Z7-CLES12Z8-CLES12Z8+CLES12Z9) chart

So that is the z789 - z890 butterfly spread.

jokertrader 

Looks like the nearer fly moves a lot more vs the farther fly which is pretty static/gentle.

The further back you go the less volatile they are, although in the really long dated ones the settlements are often bad and not updated enough. Most obvious is z24/z25 which settled at -45 but has been quoted -80/-50 for weeks, maybe months.


Just FYI when you upload images...



If you Upload and then Embed images, they show in the post rather than as an attachment, and other people can quote them.

Is this a general statement or statement based on current curves? If its a general statement.. especially for fly curves.. then what is the point of analysing these fly curves?
z789 22c under z890,
z890 8c under z901,
z901 37c over z012
z012 25c over z123 and
z123 flat to z234

a) normally what are we trying to deduce from comparing these fly curves?
b) how does that help us formulate an entry with flys?
c) above 2 questions for calendars i.e. what are we trying to reduce looking at 2/few calendar spreads and how does this help us formulate an entry with calendars?

Management with calendars: So lets say we enter long a calendar and its starts moving against us? whats the adjustment? make it a fly?

So lets say i have a 1 month calendar long and its starting to loose money
1) whats the effect of adding short the next subsequent 1 month calendar
2) effect of adding short the next subsequent 3 or 6 month calendar (widening the legs)
3) effect of adding short NOT the next subsequent 1 month calendar but later on.. seems almost like a condor

apologize for all these questions: but trying to formulate things to do and see in my head