How to monitor RBOB intra-month spreads

Discussion in 'Commodity Futures' started by pollock, Apr 19, 2009.

  1. pollock



    I requesting guidance to understand the various factors (fundamental, technical ,other) that may affect the following RBOB spreads:

    1. prompt spreads (currently K/M, M/N, N/Q spreads) and
    2. Sep/Oct and Mar/Apr spreads which prob have a life of their own.

    --- FUNDAMENTALS ---
    I am aware of the following factors re: RBOB calendar spreads -

    1. driving season from Apr to Sep causes the seasonality of RBOB futures and thus Sep/Oct and Mar/Apr spreads provide the "flex" in the RBOB futures curve.

    2. economcy and inventory stocks (for instance, this year these at their 5-y max levels and "expected" to stay at the 5y max levels), distillate demand growth, etc.

    3. hurricanes may affect refineries in USGC and cause RBOB spreads to go bullish (or bearish)

    How much belief should I apply to these? Are there other fundmentals I am missing?

    --- TECHNICALS ---

    1. Trending vs intraday swing behavior
    I am interesting in testing if intra-day would be a better strategy than close/close or even every alternate 2-3 days.
    Can anybody suggest a few tests?

    One test I did was to calculate the x-day changes. Then I calced stdev of these chgs and also averaged the absolute of the chgs. The ratio of these currently has been high for 3-day and 30-min changes indicating some trending behavior in the long run as well as swings in short term.

    2. Can I use any feedback or adaptive methods based on tick data, so I can identify when trend changes to intra-day etc.

    Also I read a super trader here say "the higher the frequency of your data, the higher the degree of mean reversion in the spread" --> could there be a good reason for this?

    pls note I am interested in RBOB spreads only (not RBOB outright futures but any input would be very welcome)