Cl & Ng

Discussion in 'Energy Futures' started by millionaire7, Oct 12, 2009.

  1. 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.
     
  2. Here you go...
     
  3. bone

    bone ET Sponsor

    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.
     
  4. bone

    bone ET Sponsor

    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.
     
  5. bone

    bone ET Sponsor

    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!
     
  6. RedSun

    RedSun

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