Cl & Ng

Hi,

Is there a direct co-relation between CL and NG futures. Means if CL goes up , NG will go up and vice-versa.

Thanks.

 

Here you go...

 

1. Not necessarily.

2. Acceleration rates and currency values of the comparative moves will vary widely.

3. On a volatility-adjusted basis, the spread has an average daily trading range of 306 tics.

4. Two year correlation of 88.7%. Z-score of 0.35.

 

its simple ... go long when he does

http://media.artdiamondblog.com/images2/GoodHumorIceCreamTruck-thumb-468x324.jpg

 

On a statistical basis, on a technical basis, and also on a Btu-weighted basis, it's a crappy spread for relative value traders.

If you're trying to scalp NG based upon what CL or HO does and vice-versa, that's a very tough path to take when you consider slippage and correlation breakdown.

 

SethArb:

Rock-on. Love the white uniforms and black bowtie. Guy looks serious too - like he's going to shoot the kid who passes on his ice cream!

 

The correlation was high before, not any more. CL is more correlated to S&P and Dollar.