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The CL Crude-analysis Thread


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The CL Crude-analysis Thread

  #2531 (permalink)
 
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 bobwest 
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josh View Post
Sure, this was news late Friday. But you never *know* what it is. You can only see the flows. However, news is only the spark... you can't get +5% without some fuel, and I think the Thursday and Friday shorts who sold in the hole are a big reason for the rally. Said another way, if we were at fresh highs on Friday with exhausted buyers, do you think that same news would have driven the market up 5%? Not likely, IMO.

I think this is probably right.

News trading by itself always has problems unless you can factor in what the market is currently doing, what it is expecting (and what would be unexpected), who is leaning which way, what's been factored in and what hasn't, etc.

You may not be able to know this until afterward, when you can figure it out based on the actual reaction to the news event. But that's just a little later than you really want to know it.

Bob.

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  #2532 (permalink)
 
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 SMCJB 
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CRUDE OIL MARGINS DOWN EFFECTIVE 27TH AUGUST

Maintenance margin as follows (Initial Margins, ie non-member rates will be 110% of these)
Tier 1 / Oct21 decreasing from $5300 to $5100, -$200
Tier 2 / Nov21 decreasing from $5200 to $5050, -$150
Tier 3 / Dec21 decreasing from $5100 to $4950, -$150
Tier 4 / Jan22 decreasing from $5000 to $4850, -$150
...
Tier 40 / Jan25 decreasing from $2600 to $2500, -$100
...
All other months reduced by $100.

https://www.cmegroup.com/notices/clearing/2021/08/Chadv21-297.html

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  #2533 (permalink)
bob666s
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what do you all think regarding Ida? i thiink its more likely to see gulf production to come back online than demand sooner than demand, therefore bearish thenext few weeks.

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  #2534 (permalink)
bob666s
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Ran some production, use, storage data from EIA mostly, against following 5 day price moves through some stats. Output from this is about -0.7%~ in the coming week. Gonna try to track and update this every few days.

Model details, graphs will be updated at https://bastion.substack.com/p/st-quantamental-price-fcast-of-wti

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  #2535 (permalink)
bob666s
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updated quantamental model still bearish, current estimate is at -1.5%~

https://bastion.substack.com/p/wti-quantamental-fcast-update-v02

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  #2536 (permalink)
 
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bob666s View Post
updated quantamental model still bearish, current estimate is at -1.5%~

https://bastion.substack.com/p/wti-quantamental-fcast-update-v02

Nice.

Have you considered maybe the 12 week or 1 year change of the "Baker Hughes Oil & Gas Rig Counts"? Wouldn't be surprised if that was more predictive than the absolute value.

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  #2537 (permalink)
bob666s
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SMCJB View Post
Nice.

Have you considered maybe the 12 week or 1 year change of the "Baker Hughes Oil & Gas Rig Counts"? Wouldn't be surprised if that was more predictive than the absolute value.

thank you for the awesome suggestion, I'm gonna test it this weekend and update you guys.

*Update,
I've added the Baker Hughes data into the predictive mix. But first looked at the correlations between these numbers against following 1month (roll adjusted) changes in 2nd month futures prices,


And here's the latest estimate from the quantile regression fit:


Currently bullish for the new week or 2

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  #2538 (permalink)
bob666s
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quantamental model updated with this week's EIA, API data, alongside latest FOMC GDP forecasts

It's turned a bit more bullish short term


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  #2539 (permalink)
bob666s
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model outlook still bullish, though weaker than Friday,

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  #2540 (permalink)
bob666s
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Quantamental model still bullish, though much weaker at +4.



Model outlook peaked at 24.56 on 22nd of Sept. where Clx21 settled at 72.23

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