3 2 1 crack spread formula
Bloomberg notes that the inputs are the following: Crude oil WTI spread at formula Cushing (uscrwtic Index ) closing price at July 19, 2013, of 108.05 per barrel.
We use the example of the Bloomberg WTI Cushing Crude Oil 321 Crack Spread/Gulf Coast (Bloomberg ticker crks321 Index).
They do crack not deal with individual margins for the underlying trades.For most of the past two years, LLS traded significantly formula above WTI and has traded closer to crack Brent due to significant growth in spread production of crude oil in inland regions such spread as North Dakota and West Texas.Within a region, there can also be seasonal differences in demand for heating fuel versus transportation fuel.Some use crudes closer in price to Louisiana Light Sweet (LLS a Gulf formula Coast crude thats waterborne.One way in which a refiner could ensure a given spread would be to buy crude oil futures and sell product futures.The crack spread X:Y:Z reflects the spread obtained by trading oil, gasoline and distillate according to this ratio. Widely used crack spreads have included 3:2:1, 5:3:2 and 2:1:1.
Because refiners can reliably predict their costs other than crude oil, the spread is their major uncertainty.One trial thing OTC traders with can attempt is to aggregate individual refineries so that manual the traders portfolio is close to the exchange ratios.In the futures markets, the "crack spread" is a specific spread trade involving simultaneously buying and selling contracts in crude oil and one or more derivative products, typically gasoline and heating oil.To ease this burden, nymex in 1994 launched the crack spread contract.# plot crack plot(crack, main "Crack Spread (in /bbl type 'l.Can you explain the increase in the refining margin crack post 2008, and post 2014?CME, cbot, nymex and, comex.Heavier crude oils contain a higher proportion of heavy hydrocarbons composed of longer carbon chains.Regional differences in the demand for territory each refined product depend upon the relative demand for fuel for heating, cooking or transportation purposes.Both of those strategies are complex, however, and they require the hedger to tie up funds formula in margin accounts.Because commodity prices can be incredibly volatile, refiners margins can too.What enemy happened to the WTI-Brent spread?
CME Group is the world's leading and 3 2 1 crack spread formula most diverse derivatives marketplace.
An average 3-2-1 ratio based on sweet crude is not appropriate for all refiners, however, and the OTC market provides contracts that better reflect the situation of individual refineries.
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