Anyone know what the correlation is between DBO & the NYMEX contract? Anyone know of any correlation studies ???
There have been several websites mentioned in the pair trading thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=134253 Free: http://www.catalystcorner.com/index.php?m=pair_tool http://market-topology.com/ http://www.impactopia.com/ http://www.sectorspdr.com/correlation/ And my own http://toolkit.entonesoftware.com/Correlation/CorrOvODisplay.aspx Not free: http://www.pairtradefinder.com/ http://www.csidata.com/ (In Windows App)
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%.
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.
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.
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.
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.
thank you for the great response. I definately feel like I am evolving my trading in the right direction.