Appreciate the fascinating write up. Really difficult to find this quality information anywhere on the internet. Quick question, where did you go about getting the yield assay data? Looking to play around with other oil grade from "Platts Periodic Table of Oil" but can't seem to get the yields
The "yield" comes from the boiling point, which is fixed. The % distilled by temperature gives you the yield, or how much the curve is displaced left or right. Remember, "yields" can vary by refinery type, so there is no definitive curve for a certain grade... that's why you don't find it anywhere
Completely makes sense now thank you. I guess each refiner is configured differently to produce different yield compositions so the data would need to be obtained from the actual refinery. Thank you for the quick response!
Appreciate market is dynamic and as you say arbs don't always exist. Roughly speaking, across different strategies (geographical, calendar, specs and others), where are most of the VaR deployed?
For thradehoueses spec is not that big.. those guys are being closely watched.. but on physical I would say calendar and crack spreads as they tend to "proxy hedge" using deferred instruments. I'm covering this aspect in the next article
Appreciate the fascinating write up. Really difficult to find this quality information anywhere on the internet. Quick question, where did you go about getting the yield assay data? Looking to play around with other oil grade from "Platts Periodic Table of Oil" but can't seem to get the yields
The "yield" comes from the boiling point, which is fixed. The % distilled by temperature gives you the yield, or how much the curve is displaced left or right. Remember, "yields" can vary by refinery type, so there is no definitive curve for a certain grade... that's why you don't find it anywhere
Completely makes sense now thank you. I guess each refiner is configured differently to produce different yield compositions so the data would need to be obtained from the actual refinery. Thank you for the quick response!
Appreciate market is dynamic and as you say arbs don't always exist. Roughly speaking, across different strategies (geographical, calendar, specs and others), where are most of the VaR deployed?
For thradehoueses spec is not that big.. those guys are being closely watched.. but on physical I would say calendar and crack spreads as they tend to "proxy hedge" using deferred instruments. I'm covering this aspect in the next article
Looking forward. Lots of great insights, cheers!
Legit good read. And yes I agree on the last part of we are “sometimes” a bunch of gamblers