Correlations study bet NYMEX crude futures & DBO

Discussion in 'ETFs' started by J-Law, Jan 8, 2011.

  1. J-Law


    Anyone know what the correlation is between DBO & the NYMEX contract?
    Anyone know of any correlation studies ???
  2. bone

    bone ET Sponsor

    CL vs. DBO, Daily closing marks, OTR past two years, just under 84% positive correlation.

    CL vs. USO, same metrics, just under 73%.

    DBO vs. USO, same metrics, just under 97%.
  3. J-Law


    Thanks, Bone.
    So, I guess that's the tightest ETF option correlation to Crude, huh ?
  4. bone

    bone ET Sponsor

    J-Law, there are about a dozen ETFs that have a two year daily close-on-close positive correlation greater than 95% with the CL Nymex futures contract. I apologize, but I cannot be more specific without getting nastygrams from clients.
  5. J-Law


    Hey, thanks. That's cool. I completely understand.
    At least I now know hat I could probably use ETF options as to add + gamma hedge against a short CL option position without paying up for CL options.
    Ball in my court.
  6. Is there a way to find out the correlation between stock vs ETF or a ETF vs ETF during intraday trading on a tick by tick time frame. Will I need to record this data on my own or is there a service that can give this data for free or for a fee.
  7. rosy2


    yes, i track this but i wrote my own code. my stuff is always for sale to qualified individuals. :D
  8. bone

    bone ET Sponsor

    There is edge and there are a number of ways to exploit intermarket correlations.

    You can scalp one versus the other, you can automate a 'lead-lag' strategy, and of course you can spread trade one instrument versus the other and profit from the convergence or the divergence.
  9. thank you for the great response. I definately feel like I am evolving my trading in the right direction.
    #10     Jan 20, 2011