There seems to be a significant correlation between the Gas Oil / Brent crack spread and the difference between the Gas Oil and Brent calendar spreads. Anyone else notice this? It's not perfect, but looks significant to me. Any ideas on how to trade this?
Hey. Try looking at June Dec Gasoil vs June Dec Brent. i.e. the June Dec Crack box. or perhaps the Dec12/Dec13 crack box. For no other reason than they are actively traded spreads. A June Oct crack box may not be as liquid.... Might be something that takes your fancy....
Here's a chart showing the GO/Br crack spread (in red) plotted against the difference between the GO calendar spread and the Brent calendar spread (in blue). This is hourly data for the whole of 2011