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by CommOddity
December 31st, 2015, 9:38 am
Forum: Trading Forum
Topic: Negative risk reversals and Contango in forwards
Replies: 2
Views: 2677

Negative risk reversals and Contango in forwards

as for the crude you should be aware that the 1m risk reversal is centered around the futures contract, not the spot...hence the contango expecation is already embedded in the atm (which is then an atm forward)
by CommOddity
December 31st, 2015, 9:15 am
Forum: Trading Forum
Topic: Dated Brent Stripping
Replies: 4
Views: 4269

Dated Brent Stripping

<t>Something it's still missing in your arbitrage: your net position is Short october bfoe (but notice it's the average of Platts assessments) and Long october bfoe (which is a "paper" cargo).So at some time in August you will have to sell your october Bfoe in order not to get nominated for delivery...
by CommOddity
December 30th, 2015, 3:52 pm
Forum: Trading Forum
Topic: Dated Brent Stripping
Replies: 4
Views: 4269

Dated Brent Stripping

Hi, first of all I have a doubt (sorry to answer with a question): can u trade EFPs? They involve taking a physical position on crude, while i guess your arbitrage is meant to be paper only...
by CommOddity
June 14th, 2013, 5:17 pm
Forum: Trading Forum
Topic: How much money do I need to make for the Bank
Replies: 9
Views: 9009

How much money do I need to make for the Bank

<t>It looks like your case is that of a new line of business in the bank, ie there's no past track-record (it would otherwise be easy to set a budget).Given the premise, if I were your boss I would use a cost-based approach. I would hence expect from you to cover, at least, the cost associated to yo...
by CommOddity
March 30th, 2011, 10:03 am
Forum: Economics Forum
Topic: Oil bubble again?
Replies: 40
Views: 47736

Oil bubble again?

QuoteOriginally posted by: frenchXDo you think that another oil bubble is growing (like the one in summer 2008)? Who said the summer 2008 was a bubble?
by CommOddity
June 11th, 2010, 8:25 am
Forum: Trading Forum
Topic: Basic question - how do commodities get "delivered"?
Replies: 14
Views: 196873

Basic question - how do commodities get "delivered"?

<t>QuoteOriginally posted by: rmaxQuoteOriginally posted by: OrbitQuoteOriginally posted by: rmaxThis is the same for LME. However in the LME your 1 ton of Copper might be in a Warehouse in Shanghai and your Copper Mill might be in South America....I traded allie for a little while. This was some ti...
by CommOddity
February 15th, 2010, 1:16 pm
Forum: General Forum
Topic: Crude Oil Asian Options
Replies: 3
Views: 194266

Crude Oil Asian Options

<t>QuoteOriginally posted by: arsunHello Guys:Has anyone been successful in pricing Asian style options on IPE Brent Firs/front line swaps/ WTI first line swaps. The reason why I am asking this is I would like to know what implied volatility goes into the model say Curran/ I have implied volatility ...
by CommOddity
January 13th, 2010, 9:20 am
Forum: Trading Forum
Topic: heatingoil-crude spread vol
Replies: 6
Views: 34913

heatingoil-crude spread vol

<t>QuoteOriginally posted by: yetanotherquantThanks. Does look like the heatingoil stockpiles have increased a lot, and might explain the lower crack spread vols. Being new to this, I guess it's a bit of a surprise to me that crack spread vols are really driven so much by fundamentals - how do peopl...
by CommOddity
January 13th, 2010, 9:02 am
Forum: Trading Forum
Topic: crack spread options
Replies: 14
Views: 38820

crack spread options

<t>It's a strange question to me, I never think to delta like this in commodities: yetanotherquant you are perhaps from equities?What i can simply observe is that the crack spread itself has not a zero delta:- the delta is <> zero in terms of lots: brent-gasoil crack is 3 lots brent and 4 lots gasoi...
by CommOddity
January 13th, 2010, 8:50 am
Forum: Technical Forum
Topic: Average Price Option (Commodities)
Replies: 5
Views: 35140

Average Price Option (Commodities)

<t>Hello,when you're up to price asian options on commodities you're expected to be first able to price efficiently the swaps: that's because the shape of the fwd curve is the most important input. Once you can price efficiently swaps you can also hedge them efficiently with futures.So the choice im...
by CommOddity
November 10th, 2009, 6:10 pm
Forum: General Forum
Topic: Gasoil pricing
Replies: 5
Views: 34037

Gasoil pricing

Hi James, on the physicalmarket these contracts are quite common (I saw dozens of them): you will hardly find anything around because it's something of little interest for academics (but as often happens of big interests for traders).What are your doubts about?
by CommOddity
August 19th, 2009, 7:42 am
Forum: General Forum
Topic: Options on Futures
Replies: 5
Views: 36422

Options on Futures

I think you are pretty misleaden: in commodities we use Black76 for option on futures. The model is on the forward itself, not the spot+yeld...contango or backwardation has no impact.Besides the forward has no drift by definition.
by CommOddity
July 28th, 2009, 11:51 am
Forum: General Forum
Topic: s&p gsci indexes
Replies: 2
Views: 38901

s&p gsci indexes

The GSCI spot is an index not replicable: during the roll period it just take the new futures price without considering the amount of money you invested. The gsci ER is instead the index you can replicate investing on futures.
by CommOddity
March 17th, 2009, 9:45 am
Forum: Trading Forum
Topic: ETFs fees and shorting
Replies: 3
Views: 42385

ETFs fees and shorting

<t>QuoteOriginally posted by: HTFBHow exactly do ETF managers extract their fees? If I am short an ETF, do I get paid the fee? Sorry if these are beginner questions... I trade ETFs for my personal account, but I guess I don't fully understand them!That's correct: basically you can gain the managemen...
by CommOddity
February 18th, 2009, 10:18 am
Forum: Trading Forum
Topic: WTI vs Brent
Replies: 10
Views: 45488

WTI vs Brent

<t>In theory Brent should be priced below WTI because the latter reflects a better quality (it's lighter): historically infact the spread was negative.Now the situation in inverted due to physical constraints on Nymex delivery point (Cushing): the point here is that the arbitrage in theory is huge b...
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