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The CL Crude-analysis Thread


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The CL Crude-analysis Thread

  #2301 (permalink)
JefoSteel
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Can anyone help me with the question I have.
What is the relationship between CBOE / NYMEX Crude Oil (WTI) Volatility Index and Invesco DB Commodity Index Tracking Fund with Oil?

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  #2302 (permalink)
 
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 SMCJB 
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CBOE / NYMEX Crude Oil (WTI) Volatility Index is the Oil equivalent of VIX.

The Invesco DB Commodity Index Tracking Fund seeks to track changes, whether positive or negative, in the level of the DBIQ Optimum Yield Diversified Commodity Index Excess Return™ (DBIQ Opt Yield Diversified Comm Index ER) plus the interest income from the Fund's holdings of primarily US Treasury securities and money market income less the Fund's expenses. The Fund is designed for investors who want a cost-effective and convenient way to invest in commodity futures. The Index is a rules-based index composed of futures contracts on 14 of the most heavily traded and important physical commodities in the world

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  #2303 (permalink)
 Futuresnoob 
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https://chng.it/rxyPGtsgPf

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  #2304 (permalink)
 
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 SMCJB 
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Futuresnoob View Post
Petition for micro crude if anyone is interested.
https://chng.it/rxyPGtsgPf

Nice idea. I've always thought that the Crude Mini (QM) was too big (500 vs 1000) to really be an effective mini contract, but this is probably an even better idea. It would probably kill the mini though.

Micro gold after that?

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  #2305 (permalink)
 Futuresnoob 
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SMCJB View Post
Nice idea. I've always thought that the Crude Mini (QM) was too big (500 vs 1000) to really be an effective mini contract, but this is probably an even better idea. It would probably kill the mini though.

Micro gold after that?

I've never liked the tic valuation for mini crude. The movement seemed to cost me more in the Mini than actual crude. I do believe there is a micro gold, MGC on CME.

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  #2306 (permalink)
 
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 SMCJB 
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Agreed the 2.5c tic on QM has also made be scratch my head. if they did a crude micro with a 1c tick that would be $1.

QG (Natgas is even worse). It's a quarter contract (2500 MMBtu vs NG 10000) and the min tic is 0.5c vs 0.1c. So the contract is quarter the size but the tick is BIGGER than the full size ($12.50 vs $10).

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  #2307 (permalink)
 
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Futuresnoob View Post
I've never liked the tic valuation for mini crude. The movement seemed to cost me more in the Mini than actual crude. I do believe there is a micro gold, MGC on CME.

Yes, there's micro Gold. CME has quite a bit of micros including currencies & metals (aside from the new equity line).

Excellent for scalability but the fees are close to double from the exchange in relation to the contract size difference from the standard E-Minis.


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  #2308 (permalink)
 Futuresnoob 
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Ironbeam View Post
Yes, there's micro Gold. CME has quite a bit of micros including currencies & metals (aside from the new equity line).

Excellent for scalability but the fees are close to double from the exchange in relation to the contract size difference from the standard E-Minis.


Mike Murphy

It shouldn't be about commissions. It should be about being able to trade long enough to find an edge with real skin in the game. I'm Warren Buffet on a simulator.

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  #2309 (permalink)
 
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Futuresnoob View Post
It shouldn't be about commissions. It should be about being able to trade long enough to find an edge with real skin in the game. I'm Warren Buffet on a simulator.

@Futuresnoob agreed!

I've seen a lot of overtrading with the Micros and thought it would be worth pointing out the higher transaction cost for the tick-traders out there

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  #2310 (permalink)
 
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 SMCJB 
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Couple of things.

Interesting article in WSJ today about the decline in Brent production, and how the benchmark we call Brent will soon be based upon a basket of North Sea Crudes with no Brent in it! Sorry may be behind a paywall.

https://www.wsj.com/articles/brent-oil-set-to-disappear-as-crude-price-benchmark-lives-on-11575284774

And since I was posting I thought I would also include a link to John Kemp of Reuters latest Commitment of Traders Presentation which I also just happened to be looking at.

https://fingfx.thomsonreuters.com/gfx/ce/7/7649/7631/CFTC%20AND%20ICE%20COMMITMENTS%20OF%20TRADERS.pdf

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