WTI Forward Curve: Contango in the front, backwardation beyond December 2012

For anyone curious how to trade the coming whiplash in the curve, see Downey's Oil 101. 

Interactive Broker TWS

FutureSource Workstation

Natural Gas Spreads and the Cost of Full Carry

This is the Nov12 / Jan13 NYMEX natural gas spread during today's EIA inventory report.  The annualized spread differential for this pair is about 19.5 cents per month.  According to some physical traders I spoke with, the cost of carry for this type of trade is about 10 cents per month.  Despite the massive premium available for those who are able to take delivery, inject into storage, withdraw from storage, then sell it against the Jan13 contract, this spread maintains its elevated state precisely because storage capacity for the winter months is so constrained. 

Friday Forward Curves: Gold, Silver, Copper, WTI & Brent

Some big moves today.

Nymex Gold

Nymex Silver

Nymex Copper

Nymex WTI

ICE Brent

Price Discovery: NYMEX Copper futures spread to Freeport McMoRan

NYMEX HG Forward Curve [edit with new]

This was an interesting one.  Below is the spread built
from trading a block of USD-denominated FCX shares (additional spreads can be built from the EUR-denominated) against the large (HG) NYMEX Copper futures.  A mini contract is available (QC) equal to half the size of the HG contract but suffers from a significant lack of liquidity relative to the HG contract.

The December contract was used in this study because it is the most liquid and maintains the tightest bid/ask spread as evidenced by the above forward curve.  Because the bid/ask spread is a function [pdf] of a market-maker's perceived risk, it is interesting to note the relative liquidity of different contracts on the curve.

Notice on the right of the chart when markets begin to perform the zeroing-in function once again.  Unfortunately, due to the large number of quote changes, Excel ran out of rows.  This appears to be a consistent problem.

Some NYMEX Natural Gas Spreads from the Archive

These are the natural gas spreads between the September, 2011 (U11) and October, 2011 (V11) NYMEX natural gas futures (NG).  Touched on previously, the EIA releases inventory data every Thursday at 9:30am CST.

July 21, 2011: Open Market

July 21, 2011: +/-5 minutes around inventory report

July 28, 2011: Open Market

July 28, 2011: +/-5 minutes around inventory report

NYMEX WTI Crude Update

I am by no means a technician or a fibonist.  Draw enough lines on a chart and you can create a reason for a price to go anywhere. Take these with a grain of salt.

NYMEX October, 2011 WTI

NYMEX WTI Weekly Continuation

Today's forward curve (at the moment).

I have previously touched on crude's outright price and more than likely will do so again.  As for predictions, prices will go up and then they will go down (repeat).

Global Gold: HKFE-listed GLD spread to CME & LIFFE

This is the arbitrage constructed from four gold futures contracts, all denominated in USD.  The four contracts include: CME's GC contract, NYSELIFFE's ZG and YG contracts, and the HKFE-listed GLD contract (not to be confused with the US-listed ETF of the same symbol).

The similarities of these contracts make this structure a relatively simple one, however if the many contracts listed in other currencies, with different quality grades and weights of varying sizes are included, the complexity of arbitrage grows exponentially. 

The bid/asks of the four contracts were recorded from 7:00PM CST July 25, 2011 to 3:05PM CST on July 26, 2011.

 This is the overlapping hours where all four contracts are open for electronic trading.

The GLD Spreads.

GC / GLD Spread, 7pm - 4am

GLD / ZG Spread, 7pm - 4am

YG / GLD Spread, 7pm - 4am

A closer look at the turbulence occurring around 2:30am CST in each relationship.

YG / GLD Spread, 2am - 3am

The CME / LIFFE spreads are forthcoming.

Further Reading:
Limits to Arbitrage and Hedging: Evidence from Commodity Markets

An Update on the NYMEX Gold Curve

Prior curve here.

The CME GC contract.

There are many gold futures contracts listed throughout the world in a range of currencies and sizes.  A forthcoming post will look at the relationship between CME, NYSELIFFE, and HKFE listed gold futures.

Weekly WTI Crude Continuation