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The CL Crude-analysis Thread


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The CL Crude-analysis Thread

  #2491 (permalink)
 
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 SMCJB 
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Nice. Any luck hunting down the referenced "Trading on mean-reversion in energy futures markets" paper by Lubnau and Todorova. Normally can find these out their but can't find this one without paying $40.

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  #2492 (permalink)
 
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DECEMBER CRUDE OIL MARGINS DOWN $350 EFFECTIVE FRIDAY 6TH NOVEMBER

Maintenance margin as follows (Initial Margins, ie non-member rates will be 110% of these)
Tier 1 / Dec20 decreasing from $5100 to $4750, -$350
Tier 2 / Jan21 decreasing from $4600 to $4100, -$500
Tier 3 / Feb21 decreasing from $4300 to $3800, -$500
Tiers 4 thru 9 also lowered by between $50 and $500

https://www.cmegroup.com/notices/clearing/2020/11/Chadv20-426.html

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  #2493 (permalink)
 
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CFTC Interim Report on the May Crude contract trading negative is out. Full report can be downloaded from the link at the bottom of the press release. I haven't read it yet).

CFTC :- CFTC Staff Publishes Interim Report on NYMEX WTI Crude Contract Trading on and around April 20, 2020
https://www.cftc.gov/PressRoom/PressReleases/8315-20

only so reading...

CFTC :- Statement of Commissioner Dan M. Berkovitz Regarding the CFTC Staff Report on the Trading of Nymex WTI Crude Oil Futures Contracts On and Around April 20, 2020
https://www.cftc.gov/PressRoom/SpeechesTestimony/berkovitzstatement112320a

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  #2494 (permalink)
 
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Interesting.

The most eye opening thing to me was that 31.1% of all May contracts traded on Apr 20 were TAS, and that over 11000 TAS traded at limit down (-10c) compared to just 164 contracts in the entire year of 2019!!!

Of secondary interest was the high concentration of Long positions held by non-reportable's and reportable-other.

Also surprised that there was no discussion of 'other contracts settling based upon the April 20th settlement price'. For example the eMini QM and more importantly the ICE financial WTI contract both financially settled that day.

As Berkovitz's complaint states, disappointing that they didn't delve deeper into the trade activities, but maybe that's still to come.

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Sorry if this is behind the paywall. Maybe searching on Google and looking at the cached version if it is. Dated Brent is HUGE. It's the basis for all western hemisphere spot cargoes.

WSJ :- International Oil Benchmark Weighs Adding U.S. Crude to Mix
https://www.wsj.com/articles/international-oil-benchmark-weighs-adding-u-s-crude-to-mix-11607030826

By March 2022, S&P Global Platts is likely to start using crude drilled from wells near Midland, Texas, in setting the price of Dated Brent, a gauge that has historically reflected physical oil prices in Europe’s North Sea.
...
Set daily by Platts, Dated Brent is a pivotal cog in the global oil market. It bears parallels to the role of the Libor interest-rate benchmark in its heydays, or that of 10-year Treasury yields in global credit markets.
...
Fewer than 10 cargoes of crudes in the Dated Brent basket changed hands in the main Platts trading window each month from August through November.




And in today's other news...

CFTC :- CFTC Orders Vitol Inc. to Pay $95.7 Million for Corruption-Based Fraud and Attempted Manipulation
https://www.cftc.gov/PressRoom/PressReleases/8326-20

Reuters :- Vitol pays $164 million to resolve U.S. allegations of oil bribes in Latin America
https://www.reuters.com/?edition-redirect=uk

I don't understand how in a situation like this, individuals aren't responsible? It's like letting a drug syndicate off with a fine and not charging any of the participants.

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Bloomberg:- The Essex Boys Who Rode Oil’s Crash to a $660 Million Profit
https://www.bloomberg.com/news/videos/2020-12-10/the-essex-boys-who-made-660-million-from-oil-s-crash-video

https://www.bloomberg.com/news/features/2020-12-10/stock-market-when-oil-when-negative-these-essex-traders-pounced

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  #2497 (permalink)
 
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ICE Circular 20/192 - Consultation: Inclusion of WTI Midland in Dated Brent and BFOET assessments
https://www.ice.com/publicdocs/circulars/20192.pdf

The purpose of this Circular is to draw Members’ and their clients’ attention to S&P Global Platts’ consultation to include WTI Midland into Dated Brent and BFOET assessments and to invite comment on any related considerations for and/or impacts on ICE Brent Futures and the ICE Brent Index, Brent Options and Brent related derivatives.

On 03 December 2020, S&P Global Platts announced the commencement of a formal consultation regarding the inclusion of WTI Midland Crude in its Dated Brent benchmark and all related assessments. The full details of the consultation can be found at the link to the Platts subscriber notes below.
https://www.spglobal.com/platts/en/our-methodology/subscriber-notes/120320-sampp-global-platts-opens-consultationon-inclusion-of-wti-midland-crude-in-dated-brent

ICE Futures Europe (“the Exchange”) hosts the ICE Brent Futures and Options contracts as well as a wide range of cash-settled derivatives contracts including but not limited to Brent 1st Line Futures and Options, Dated Brent vs 1st Line Brent Futures, Brent 1st Line vs Dubai 1st Line Futures, Brent CFDs, Dated Brent Futures and Options and Brent CSOs.

The Exchange seeks feedback on the expected direct and indirect impacts of the Platts proposals on these and other Brent-related derivative contracts. In particular the Exchange seeks market participants’ views on the following:
• The inclusion of WTI Midland FOB basis Scapa Flow into Platts’ Dated Brent benchmark and all related assessments.
• The inclusion of WTI Midland as a deliverable grade into cash BFOET on an STS Scapa Flow basis and therefore into the ICE Brent Index
• The timing of any such implementation and key considerations for ICE Brent Futures and Options and related derivatives
Members and their clients are invited to respond by 31 January 2021.

While this appears to be ICE Brent specific, I would point out that
a/ the NYMEX Brent contract is a derivative of the ICE contract, and
b/ inclusion of WTI in the Dated index, could obviously have some implications as to how WTI trades. While in Futures the size of the contracts may be similar, in physical oil markets most waterborne western hemisphere crude is price referenced to Dated Brent.

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So consultation does not mean it will happen... but if it does happen...
Would think this would impact physical more than futures or will it affect WTI?


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  #2499 (permalink)
 
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My 'Dated Brent' days are now 20 years removed, back when it was 'Brent" before even the 'BEFO basket' , so I'm not sure I'm the best person to answer this, as my experiences may no longer be relevant. I will say Dated Brent is like 'cash' Brent. Unlike things like S&P, Gold, Silver where the primary way to trade the cash market is to trade the actual cash, Dated Brent has a massive financial derivatives market. It's not (or at least wasn't) difficult to have millions of barrels of physical oil pricing off of a single daily index print. In that situation pennies equate to tens of thousands of dollars. Throw some financial derivatives on top, and that can quickly become even larger. So your right, does Dated become effected by WTI or does WTI get effected by Dated?

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John Lothian News :- Joel Fingerman of Fundamental Dynamics Weighs in on CFTC Oil Crash Report
An Analytical and Fundamental Response to the CFTC Interim Staff Report: Trading in NYMEX WTI Crude Oil Futures Contracts Leading up to, on, and Around April 20, 2020


https://johnlothiannews.com/joel-fingerman-of-fundamental-dynamics-weighs-in-on-cftc-oil-crash-report/

Good read. Love this chart, really puts the oversupply into perspective.

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