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Crude Oil Calendar Spreads

Market Measures

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Inspired by the large declines in the energy market, we decided to study calendar spreads in Crude Oil. Beef joined Tom and Tony to discuss the history of the spread while the Crude Oil futures curve is in backwardation or contango.

A graph of the closing price in Crude Oil (/CL) from January 2013 to present was displayed. The graph showed a 70% decline since 2014. This type of move has resulted in a massive increase in Crude Oil implied volatility.

A one year graph of Crude Oil contracts was displayed. A graph from July 2015 showed a 7% difference between the March 2016 /CL contract and the September 2017 /CL contract. In February 2016, the difference between these contracts had widened to 34%. Beef noted that the spread moved so much due to the higher storage costs.

A final graph to visualize the backwardation/contango of Crude was displayed. The graph showed that since the year 2000, Crude Oil futures have been in contango 63% of the time.

Watch this segment of Market Measures with Tom Sosnoff, Tony Battista and Mike Hart (Beef) for the valuable takeaways and other information on trading Crude Oil Calendar Spreads.

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