Registered: Aug 2010
09-04-12 03:03 AM
This isn't necessarily a calendar spread question, but...since we're talking about seasonals and energy spreads, has the 3-2-1 NYMEX crack gone out the window as far as being a fair representation of what refiners actually experience?
Right now, the December 3-2-1 NYMEX is about $30/barrel, but, using Brent Crude as the basis, it's much, much lower. Don't many northeast U.S. refiners import "brent" (i.e. "world") crude as the feedstock, because they can't really pipe it from Cushing?
The 3-2-1 NYMEX has had some pretty solid seasonal behavior, and has historically shown good long-term mean-reversion characteristics at extreme points (above $35/barrel and below $5/barrel), but, with Brent trading so much higher than WTI, I'm afraid that these characteristics may be breaking down.