Any specific reason why CL rolled over about a week earlier than usual?

xplorer 

Any specific reason why CL rolled over about a week earlier than usual?

June crude expires tomorrow on it's normally scheduled expiration day.

Many FCMs have forced customers to get out of June contract early after concerns of a repeat of May. If they were long this has cost them a lot because June has rallied significantly more than July. This is broker specific though. Your question seems to be why did your software do the roll over early. Unfortunately the only people that would know that is the developer, or whoever sets the rollover date. If you do happen to ask them you might also ask whether than randomly change rollover dates of other contracts and how does that effect back testing in the future/will their continuation charts correctly reflect this/will their software remember that they changed this in the future?

SMCJB 

June crude expires tomorrow on it's normally scheduled expiration day.

Thanks. I was under the impression that the date I was looking at was the official roll-over date but you seem to suggest this is broker-specific.

In fact, this led me to check the CME calendar and I now remember there does not seem to be such a thing as "roll over date".




However the 7th looks about right when July's volume exceeded June (I don't have the platform open right now).

So, do I assume correctly that roll-over is just a term being applied when the volume traded on one contract takes over the prior contract?

@xplorer I can only talk about Tradestation as that's my primary experience with software that deals with continuation contracts. (TT doesn't have continuous contracts!) They roll contracts on a predefined schedule which is X days prior to expiration, where X changes by symbol. The concerning thing is they do change that schedule. Couple of years ago I was trading an automated Gasoline system and suddenly started experiencing real slippage on actual vs expected. When I dug down into the data I discovered, and Tradestation confirmed, that they changed X from 3 to 4 for RB! No announcement. No warning. No way to check back historically and see this either! Tradestation does have the ability to define your own rollover rules though, which would alleviate the issue of them changing their rollover rules. This allows you to pick an X day offset (lag or lead) from one of several conditions, for example expiration day, OI higher in deferred contract, higher daily volume etc. Surprisingly very few people seem to use it though. People prefer easier vs accurate I suppose!

@SMCJB / anyone

Does short July and long August make any sense right now?

Mike

Big Mike 

@SMCJB / anyone Does short July and long August make any sense right now? Mike

I don't know. I don't normally trade much in the front because they are so fundamental driven and crazy stuff like we have just seen can happen. The consensus mindset was that we were not going to have enough storage and hence prices would come under pressure. Obviously this happened. Eventually though when demand did come back there was a potential for a pretty big price spike as people think a lot of the production taken off line is permanent not temporary. I was very surprised that June finished as strong as it did, I thought it would be very weak and I really don't know what to think right now. Have we really moved into the 'we now will have a shortage' phase? I really don't see how. Admittedly it does look like OPEC+ have made some significant cuts, but demand is still terrrible and how long will those cuts last with crude back above $30?

In the last 3 weeks the N0/N1 Calendar Spread has rallied $10.50 from -$14 to -$3.50. Further back spreads like Z23/Z24 haven't moved and are still really wide at $2.20. This is a massive curve shift.

SMCJB 

I don't know. I don't normally trade much in the front because they are so fundamental driven and crazy stuff like we have just seen can happen. The consensus mindset was that we were not going to have enough storage and hence prices would come under pressure. Obviously this happened. Eventually though when demand did come back there was a potential for a pretty big price spike as people think a lot of the production taken off line is permanent not temporary. I was very surprised that June finished as strong as it did, I thought it would be very weak and I really don't know what to think right now. Have we really moved into the 'we now will have a shortage' phase? I really don't see how. Admittedly it does look like OPEC+ have made some significant cuts, but demand is still terrrible and how long will those cuts last with crude back above $30? In the last 3 weeks the N0/N1 Calendar Spread has rallied $10.50 from -$14 to -$3.50. Further back spreads like Z23/Z24 haven't moved and are still really wide at $2.20. This is a massive curve shift.

Initial margin for the Z23/Z24 at Interactive Brokers is $8028 compared to a maintenance margin of $456 - I never saw such a relation between these two values. Do you know the reason ?

Best regards, Myrrdin

IB shitting in their pants??! Sorry for being so crass but just a thought


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Baker Hughes Rig Count Down 21 to 237

Brings the total to a drop of 446 in 9 weeks but this is the smallest drop in 9 weeks. (19, 40, 62, 58, 66, 60, 53, 33, 34 & 21).

This is the lowest rig count since Aug 2009, and an approximate 675 rig drop from the end 2018 highs.

Quoting 

12:00 (US) Weekly Baker Hughes Rig Count: 301 v 318 w/w (% w/w) - US oil rig count: 222 v 237 prior (% w/w) - Nat gas drilling rig count: 77 v 79 w/w (% w/w) - Canada total rig count: # v 21 w/w (% w/w) - Source TradeTheNews.com

Ron