Severe backwardation in 12 month spreads? Need to look how the shorter duration flys are doing

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jokertrader 

Severe backwardation in 12 month spreads? Need to look how the shorter duration flys are doing

Front several one months are negative, once you get to UVX, all the none-KMN and XZF flies are all around 2c for years. The XZFs are as tight as I've ever seen them all the way out, most around -4. In the 6 month flys prompt MZM is historically pretty wide but we're getting closer to expiry so anything could happen. All the others, and all the ZZZs are backwardated. z2mz is around 37 and z3mz around 25. Funny thing is I can tell you all that without looking but I couldn't tell you where outright prices is within $2.50 without checking!

This thread has been quiet!

Anyway two stories I saw today that I found interesting.

BP’s trading arm made nearly $4 billion in 2020
https://www.reuters.com/article/us-bp-trading-exclusive/exclusive-bp-bets-on-energy-trading-to-fund-strategy-shift-after-bumper-year-idUSKBN2B30GK

One of the biggest trading plays in 2020 was to store oil during the downturn, buying it at low prices and selling it later when prices recovered.
...
BP made around $1.7 billion on this strategy alone in the second quarter of 2020

Pricing agency Platts defers changes to dated Brent oil benchmark
https://www.reuters.com/article/us-oil-platts-brent/pricing-agency-platts-defers-changes-to-dated-brent-oil-benchmark-idUSKBN2B302P

and an update from

SMCJB 

In the 6 month flys prompt MZM is historically pretty wide but we're getting closer to expiry so anything could happen. All the others, and all the ZZZs are backwardated. z2mz is around 37 and z3mz around 25. Funny thing is I can tell you all that without looking but I couldn't tell you where outright prices is within $2.50 without checking!

Last couple of days z3m4z4 is trading premium to z2m3z3 and z4m5z5. Don't see that in a market this backwardated very often. Shame that trading z3m4z4 is like pulling teeth.

Running some statistical tests with data I usually reference by eyeballing alone. Hopefully you guys find this interesting too.

here's a short term bias based on change in valuation against a basket of crude oil types, using a group of statistical methods. I used linear regression, K-Nearest Neighbor, and ARIMA fit here.

The numbers give a slightly bearish outlook the next few days, though I wouldn't take trades purely based on this, since it's blind to qualitative factors.

VST.CL_5.27_Bob666

interesting chart from Reuters John Kemp on Price vs Rig Count

"U.S. OIL RIG COUNT rose +8 to 373 last week and is up by +201 from the cyclical low in Aug 2020, but still less than half the number the last time prices were above $70 per barrel: "

Micro Crude (MCL) Fees Announced
From the Micro Crude Thread.

SMCJB 

As @creamyyy says the fee structure is now announced. Exchange fees per side. Does not include NFA Fees (2c) or FCM Clearing Fees (variable). CL - Crude Full Size (1000 bbl) [Existing] Member Day Trade 55c Member Overnight 70c Non-Member $1.50 QM - Crude E-mini (500 bbl) [Existing] Member Day Trade N/A Member Overnight 55c (ie $1.10 equivalent or +100% of full size) Non-Member $1.20 (ie $2.40 equivalent or +60% of full size) Member Cash Settlement 0c Non-Member Cash Settlement 0c MCL - Micro Crude Full Size (100 bbl) **NEW** Member Day Trade N/A Member Overnight 20c (ie $2 equivalent or +185% of full size) Non-Member $0.50 (ie $5 equivalent or +233% of full size) Member Cash Settlement 20c (ie $2 equivalent full size) Non-Member Cash Settlement 50c (ie $5 equivalent full size)

If looking for open range breakouts what time of the day should I monitor for WTI crude? In the logical trader book MF says crude trades from 9:45 am Eastern time. Is this still considered the open time that could be used for open range breakouts?

fibtrader2012 

If looking for open range breakouts what time of the day should I monitor for WTI crude? In the logical trader book MF says crude trades from 9:45 am Eastern time. Is this still considered the open time that could be used for open range breakouts?

Crude Oil day-session: 9 am ET - 2:30 pm ET

since 5 years or so there is no Crude Pit anymore, but the trading-time is still valid

tr8er 

Crude Oil day-session: 9 am ET - 2:30 pm ET since 5 years or so there is no Crude Pit anymore, but the trading-time is still valid

Thanks for that. Why do you think Mark Fisher mentioned 9:45 am? Was that the Crude pit time maybe? I know its an old book.

fibtrader2012 

Thanks for that. Why do you think Mark Fisher mentioned 9:45 am? Was that the Crude pit time maybe? I know its an old book.

Hi, no idea why, the Crude Pit session was as I posted above (day-session), but maybe he means 15 min after the cash-open? Traders take different time-frames for OR, maybe he uses 15min (in his case after the cash-open), others take 5min OR, if I remember correct S&P pit-traders took 2min