Notice Henry spot is almost caught up w/ Nov. But my concern now is, aside from the spread unwinding, etc, why premium in winter months seems low to me. The spread on the Nov/Dec has narrowed .70 in just 3 days. Does anyone study these relationships between front/back months over history? Perhaps someone can comment further on these spread relationships and their experiences in the past. I'm long Dec since Friday, but I wish I would've picked up Nov this time. cheers and good luck
Looks like you know who unwinding the spread. The fact that the winter months haven't moved like November is a great bearish sign, I believe. If this was truly weather substantiated, that spread would be widening (even though its ridiculously large compared to historic #s) Remember 1 week ago? Market bought up to almost as high levels, then sold off to 5.60 after the EIA report. Same idea was weather worries ... Only thing I don't get is the morning buying -- you think a hedge fund closing a position would wait until more liquidity existed. So likely just momentum buyers. Remember, this is second to last EIA report before Nov expiration and perhaps JP/Citadel doesn't want to risk a bullish EIA report and exit with less time and more uncertainty against them (and possibly less liquidity). All speculation - just like the weather. May be the greatest short opportunity starting now. Put orders in at 6.99, 7.15, 7.30, and 7.50. I'm taking more risk I believe shorting QG versus NG, since IB doesn't let me hold NG to the last possible day, and QG expires 4 days before NG. I would bet good money that a player like JP Morgan could probably liquidate whatever contracts it has as late as they like (in fact, there's probably a way they could do it post expiration - selling their commitments on the open cash market at a discount ). With that considered, it will be especiallyfascinating to watch expiration of Nov and the first few days of Dec takeover.
http://www.nymex.com/media/101806.pdf page 8, it's actually 68% but it was less than 50% only 10 days ago.
See what I mean about cash? HH prices have shot up 42% this week, and futures have gone up also. There is no predictive value in the spread in this market (at least not obvious predictive value.)