Hi, I am looking for a good book, and if is not books a website or blog that talks and explain in details about fundamentals, and in and outs of intra month spread trading particularly for Oil, Natural Gas and Gasoline. Someone recommended me this books: The Complete Guide to Spread Trading by Keith Schap Energy Trading and Investing: Trading, Risk Management and Structuring Deals in the Energy Market by Davids Edwards & Trading Spreads and Seasonal s by Joe Ross but in my opinion this books do not cover as much as I was expecting on Energy Spreads. Really will appreciate any help to point me in the right direction to educate my self on Energy Spread (intra month). Thanks.
I just worked my way through the "CL Spreads" thread and saw your posts there. For sure a wealth of good information from folks who understand that side of the business. The overlap between cash markets, OTC derivatives, and regulated futures is really a lot to get arms around. The convergence between futures pricing and cash into settlement is what makes futures viable. local's base line explanation paints a good picture. bone's comments as well as others who trade them also help fill in the picture. My sense is the only way to build an understanding is via DIY research - IE Chart the spreads, comparing them to flat prices, changes in OI, fundamentals (stock reports), etc. Not an easy task. Many market books attempt to "oversimplify" the complex. Not sure I'd trust anything too concise or more than 4 years out of date.
I've been in search of the same thing and the longer it goes without really finding much, I think FMR might be right. But I've learned along the way. From what I've been able to take from the threads in here, Local has a real understanding of the fundamental side of grain spreads for sure and maybe energy too. Bone goes with "statistical modeling", and fully admits to not really paying attention to any fundamentals/cash markets. I think you have to just do your own research and never put too much weight or investment in any single resource's offering. I'm tempted to try those books you listed there though.
Good summation on the CL Spread thread. I bought one book on spreads years ago - It pretty much put me to sleep. But I do believe they play a much bigger role than flat price trading. I dumped a few more questions into the CL Spread thread - so we'll see who replies. I'm not much of a financial model builder, but I'll gladly post some of my research results here. I did a career in the Maritime industry, so I know a fair amount about the highly competitive maritime element which play into the ARB / spot market side of CL. As bone alluded to these factors are not easy (or probably useful) to model.
As long as you buy strength and sell weakness you will be fine trading calendar spreads - with the flies and condors there is some mean reversion but be very careful. Price is price, and IMO everything that is currently known about a product or commodity is distilled in that last price print. Yes, I used to trade commercial energy so that space is a bit familiar - but I have traded grains, softs, and interest rates with good effect based upon price action. As long as there is electronic access and a reliable data feed I am good to go.
Gents - Ran across the following study (commissioned by CME) dated Jan 2010. I'm not finished reading but it clearly paints a good historical perspective on the WTI benchmark and current factors influencing pricing. Enjoy http://www.purvingertz.com/userfiles/products/PurvinGertz_WTI_Benchmark_Study.pdf