Dec 2011 bid 90.32 Dec 2012 ask 89.57 Dec 2013 ask 88.53 Dec 2014 ask 88.26 so most noticeable in the $1.79 difference between Dec 2011 and Dec 2013. *** edited to add: new 6-month high of 89.15 for the January 2011 contract This is also the 52-week continuous contract high
m22au Just bought some Z12 110 calls myself, and am watching the Prompt/Z12 spread closely. I think prompt trades $140-$160 in 2011-2012. I just hope Z12 doesn't fall far behind. I did a similar trade in late 07 (buying Z10 105 calls). Looking at the chart of CL #F - CL F1 (can't use Z1 on futuresource b/c its already off the board), and it appears the spread dropped even as we were setting new highs in CL #F in '08. I don't know what to make of it, but just thought I'd throw out what I'm looking at myself. CL#F - CLF1 chart, compared with CL#F
Those oil spreads took another leg down today. Jan11 to Dec15 around -$3. Quite a lot of volume went through in Dec15 CL.
thanks for your comments thegazelle and benwm. Interesting to sit and watch this situation. Although the Dec 2014 is the lowest offer I can see (about $2.90 lower than the Jan 2011 bid), the Dec 2018 is still offered more than $1.15 below the Jan 2011 bid.
I bought Dec15 at 86.20 Haven't worked out where my stop is though! Maybe I'll just keep it. The lowest Dec15 went during the 2008 credit crisis was around $66 even when front CL was $35.
Interesting regarding the $66 low. Thanks for pointing out the volume too, very noticeable on a 3 year chart that the volume in Dec15 has been very heavy in the last 4 days.
I can't find a chart of Dec 2012 going back to mid-2008, but looking at Dec 2013, the high in July 2008 was at about 142, so "only" $5 less than the front month high of about $147. It's an interesting trade idea, to buy a long-dated contract now, you could/should expect to get most of the gains that are seen in the front month, yet possible support at $65 which was the low in early 2009.
Yep, I think of buying Dec15 as more of an investment play than a trading play, you might need to sit this one out for a couple of years, or more realistically a few months of pain. I don't think a stop makes sense unless you put it real close based on prior day lows or something and then try and time it. If Dec15 held as a long term play then theoretical downside only 25% based on the $65-$66 low, upside possibly multiples of that. Still not sure who would be selling these longer dated options. Maybe it's actually something of a warning sign of future demand from oil exporters, due to advances in electric cars, for instance? But a reluctance to sell near term months due to winter demand and/or Korean/Wikileaks geo tensions? There is also an extraordinary OPEC meeting coming up later this week... I would guess short term pain, long term gain in buying Dec15.
Despite the possible floor at $65, I'm probably not going to buy the Dec 2015 as a directional bet. However an idea that I'm thinking of is a pair of (long Dec 2015 + short S&P 500). Assuming the oil/stocks correlation continues, then if it is "risk on" then Dec 2015 should perform just as well as the S&P 500. If it's "risk off" then Dec 2015 has that possibility of finding support in the mid 60s.
Another decent idea could be to buy the Dec 14 or 15, and sell something early 2011. If the curve were to go back to contango, you could roll your nearby short every month, and maintain the long. Difficult to say when it's reached it's peak inverse too, the whole curve might go inverse the way it's looking... One other idea that could be interesting and slower moving, is to sell the 16-17 or 17-18 at even?