ETF / Futures Arbitrage: Deviation in Practice

This is a basic ETF / futures spread built from a block of shares traded against an offsetting futures contract.  Several breaks occur in this study from August, 2011.

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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. 

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

Natural Gas Inventory Report & Its Effect on Spreads

Every Thursday at 9:30AM CST, the EIA releases the weekly U.S. natural gas inventory report.  To the right is a chart of the Jan12 and Feb12 Henry Hub natural gas contracts and the corresponding spread between them.  The chart is from 9:25am - 9:35am this afternoon, Thursday, Aug. 25, 2011.