Arb between Brent and Crude oil

Discussion in 'Energy Futures' started by Done 777, Aug 3, 2008.

  1. Done 777

    Done 777

    Hello

    I checked the brent and the crude oil data from the ducascopy and i see there are lots of arb opportunities. What do you think about this?

    I do not have the ducascopy account (min depo $50k) so i'm seeking some otc platform/spread betts for small trader for test this strategy.


    I know this is not a new strategy but I found nothing about it on this forum.
     
  2. rosy2

    rosy2

    can you explain where you see this? looks like a spread to me
     
  3. Done 777

    Done 777

    There are the differents between brent and crude oil sometimes $1, sometimes $2, sometimes more.
     
  4. I was looking at this also...so...if brent way above or behind...will it converge to CL?
     
  5. kxvid

    kxvid

    Interesting, similar trade to the crack spread. By no means a sure thing, crude might go down to converge with brent, or brent might go up to converge with crude. Or they might not converge at all, the spread might even widen. Is this analysis more or less correct?
     
  6. ice offers this trade as a spread price.. i would suggest you trade it there so you can rapidly trade the spread automatically
     
  7. CBuster

    CBuster

    This is not an arb. The two contracts have different, if similar, underliers. There is no certainty that they will converge whatsoever.

    I'm not saying there isn't money to be made with this spread, just beware of thinking it's easy money
     
  8. The intermediate and long-term trends of the two markets should correlate tightly but that breaks down as you shrink your time horizon. Consider using some type of bands that represent "cheap" and "expensive" levels for the spread.
     
  9. laputa

    laputa

    The two are not the same contract... the one trade on Nymex is WTI

    Check wiki for details
    http://en.wikipedia.org/wiki/Benchmark_(crude_oil)

    They probably have different cost of carry too because of the different storage facilities...

    Pure arbitrage is virtually non-existence today... virtually all arbitrage performed today involve some risk and even that probably require the arbitrager to lump "legs" together to simultaneously execute several arbitrage stra or else they won't even cover executnig costs...
     
  10. Done 777

    Done 777

    GFT Global Markets' spread betting platform has brent and WTI crude oil, so there is no SWAPs and other risks. Everything is in the 1 platform, so there is no need to have 2 accounts and make money transfers.


    I know there is no free lunch, but i'm sure this is better than traditional equities trading
     
    #10     Aug 5, 2008