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The CL Crude-analysis Thread


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The CL Crude-analysis Thread

  #2541 (permalink)
 
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This could be interesting. Industry is crying out for a more representative benchmark for WTI than the current Cushing contract. When oil flowed to the GC and then up pipes to Cushing it was fine, but now that so much oil flows south not north its become unrepresentative. (aka the minus $37 print last year while GC prices never went below $10). Both ICE and CME have launched Permian (aka West Texas) contracts but both floundered/failed. This new contract has the backing of Magellan (which previously backed the ICE Permian contract) and Enterprise (which previously backed the CME Permian contract) so now has a combined 150 kkb of storage (vs 60kkb at Cushing).

Reuters: ICE says new Midland WTI futures contract to go live in late January
https://www.reuters.com/business/energy/ice-says-new-midland-wti-futures-contract-go-live-late-january-2021-12-08/

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  #2542 (permalink)
bob666s
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quantamental model remains bullish short term


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  #2543 (permalink)
 asyx 
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Perhaps Rig count and inventory tend to follow price and not the other way round.



bob666s View Post
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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  #2544 (permalink)
 
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asyx View Post
Perhaps Rig count and inventory tend to follow price and not the other way round.

Very insightful IMO. The price is a mechanism to advertise to potential buyers/sellers (borrowing terms from auction market theory), and the reflexive nature of markets and positioning guarantees that outside fundamentals alone can't dictate price. Positioning, for example, plays a big role in price discovery. Many/most traders who are leveraged long a market which turns down and puts them underwater significantly probably aren't going to get much solace from the rig count, and their more pressing financial needs (whether it be the pain of losing, or capital for margin calls, etc.) may outweigh what the price "should" be.

In turn, the price plays a critical (maybe the most critical) role in demand for the underlying commodity (people drive less when gas is $4/gal than when it's $2/gal), and in the supply (when oil is more lucrative to sell, producers are more willing to invest in drilling, etc.).

I'm not a fundamentals expert on oil, as you can see, but obviously fundamentals and market dynamics go hand in hand, and both are important!

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  #2545 (permalink)
 
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SMCJB View Post
This could be interesting. Industry is crying out for a more representative benchmark for WTI than the current Cushing contract. When oil flowed to the GC and then up pipes to Cushing it was fine, but now that so much oil flows south not north its become unrepresentative. (aka the minus $37 print last year while GC prices never went below $10). Both ICE and CME have launched Permian (aka West Texas) contracts but both floundered/failed. This new contract has the backing of Magellan (which previously backed the ICE Permian contract) and Enterprise (which previously backed the CME Permian contract) so now has a combined 150 kkb of storage (vs 60kkb at Cushing).

Reuters: ICE says new Midland WTI futures contract to go live in late January
https://www.reuters.com/business/energy/ice-says-new-midland-wti-futures-contract-go-live-late-january-2021-12-08/

ICE Midland WTI American Gulf Coast Crude Oil Futures Contract
The ICE Permian WTI crude futures contract (ICE: HOU) is being restructured and renamed the ICE Midland WTI American Gulf Coast (AGC) crude futures contract.

Mike Wittner, ICE’s Head of Oil Market Research, recently presented on this topic at the fall meeting of the Crude Oil Quality Association (COQA). View the presentation to find out more about the coming changes and how the restructured contract will offer the market a strong alternative for pricing and managing U.S. crude price risk.

Presentation
https://www.ice.com/publicdocs/ICE_Midland_WTI_American_Gulf_Coast_Futures.pdf

Lots of Interesting Charts & Maps if you want to learn a little more about Crude Fundamentals.

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CRUDE OIL MARGINS EFFECTIVE 20TH JANUARY

Maintenance margin as follows (Initial Margins, ie non-member rates will be 110% of these)
Tier 1 / Feb22 increasing from $5850 to $6150, +$300
Tier 2 / Mar22 increasing from $5800 to $6050, +$250
Tier 3 / Apr22 increasing from $5700 to $5950, +$250
...
Tier 11 / Dec22 increasing from $4750 to $5100, +$350
...
Tier 23 / Dec23 increasing from $3600 to $4050, +$450
...
Tier 35 / Dec24 increasing from $2900 to $3300, +$400
...
Tier 41 on back / Jun25 on back increasing from $2900 to $3000, +$100

https://www.cmegroup.com/notices/clearing/2022/01/Chadv22-019.html

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CRUDE OIL MARGINS EFFECTIVE 7TH FEBRUARY

Maintenance margin as follows (Initial Margins, ie non-member rates will be 110% of these)
Tier 1 / Mar22 increasing from $6150 to $6800, +$650
Tier 2 / Apr22 increasing from $6050 to $6700, +$650
Tier 3 / May22 increasing from $5950 to $6600, +$650
...
Tier 10 / Dec22 increasing from $5250 to $5900, +$650
...
Tier 22 / Dec23 increasing from $4125 to $4700, +$575
...
Tier 34 / Dec24 increasing from $3350 to $3850, +$550
...
Tier 47 on back / Jan26 on back increasing from $3000 to $3200, +$200

https://www.cmegroup.com/notices/clearing/2022/02/Chadv22-038.html

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CRUDE OIL MARGINS EFFECTIVE 23RD FEBRUARY

Maintenance margin as follows (Initial Margins, ie non-member rates will be 110% of these)
Tier 1 / Apr22 increasing from $6800 to $7600, +$800
Tier 2 / May22 increasing from $6700 to $6400, +$700
...
Tier 9 / Dec22 increasing from $6000 to $6200, +$200

https://www.cmegroup.com/notices/clearing/2022/02/Chadv22-058.html

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CRUDE OIL MARGINS EFFECTIVE 28TH FEBRUARY

Maintenance margin as follows (Initial Margins, ie non-member rates will be 110% of these)
Tier 1 / Apr22 increasing from $7600 to $8000, +$400
Tier 2 / May22 increasing from $7400 to $7600, +$200
Tier 3 / Jun22 unchanged at $7200
Tier 4 / Jul22 decreasing from $7000 to $6850, -$150
...
Tier 9 / Dec22 decreasing from $6200 to $5850, -$350
...
Tier 21 / Dec23 decreasing from $4800 to $4400, -$400

https://www.cmegroup.com/notices/clearing/2022/02/Chadv22-064.html

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Crude moves $10 and ....

CRUDE OIL MARGINS EFFECTIVE 2ND MARCH

Maintenance margin as follows (Initial Margins, ie non-member rates will be 110% of these)
Tier 1 / Apr22 increasing from $8000 to $9000, +$1000
Tier 2 / May22 increasing from $7600 to $8400, +$800
Tier 3 / Jun22 increasing from $7200 to $7800, +$600
Tier 4 / Jul22 increasing from $6850 to $7200, +$350
Tier 5 / Aug22 increasing from $6650 to $6800, +$150
Tier 6 / Sep22 unchanged at $6450
...
Tier 9 / Dec22 unchanged at $5850

https://www.cmegroup.com/notices/clearing/2022/03/Chadv22-069.html

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Last Updated on March 23, 2024


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