In the Arb Excel you are using the ICE Gasoil April (88.61) to calculate your short paper position (in cell H14). Wouldn't it be ICE Gasoil May (87.94)?
Also, could you explain how did you reach the 482kb volume? Thanks so much for this stuff!
For the hedge optimization, what you need to protect is that $1.10/bbl gain in the arbitrage. If you sell the full volume (at a lower price than Aprl) your net position would be negative, then you hedge the right amount so your position is $550,000. check the excel, it is updated. Beware, this is an arb with no physical barrels, this shit is level 5.. crude arbitrages is better explained
the structure is always changing with prices on those futures contracts, is not a given. What you do (those 89 cents) is try to get to a theoretical price for a certain date, using two datapoints which are two different prices in different times... check the excel is all there
In the Arb Excel you are using the ICE Gasoil April (88.61) to calculate your short paper position (in cell H14). Wouldn't it be ICE Gasoil May (87.94)?
Also, could you explain how did you reach the 482kb volume? Thanks so much for this stuff!
you are right on the H14 cell.
For the hedge optimization, what you need to protect is that $1.10/bbl gain in the arbitrage. If you sell the full volume (at a lower price than Aprl) your net position would be negative, then you hedge the right amount so your position is $550,000. check the excel, it is updated. Beware, this is an arb with no physical barrels, this shit is level 5.. crude arbitrages is better explained
Explain more about the structure if you would. Between Apr-May and May-Jun. Also how do you get the 89cents structure. Cheers Bandit
the structure is always changing with prices on those futures contracts, is not a given. What you do (those 89 cents) is try to get to a theoretical price for a certain date, using two datapoints which are two different prices in different times... check the excel is all there