Second Cycle: Base Positions

With 18 days left to the expiration of  second cycle the base positions are all established now. I still can try SP500 scalping.

Position Statement on 10/30/15 12:18:18
using Beta Weighing on '/CL'
Instrument	Qty	Days	Strike	Trade Price	Mark	Delta	Theta	Vega	BP Effect
/CL						1051.43	110.53	-111.28	-$14,419.00
Crude Oil Futures,Dec-2015,ETH	0	21		0	46.16	0	0	0
1/1000 DEC 15 /LOZ5 34 PUT	4	18	34	0.035	0.02	-36.91	-17.05	10.53
1/1000 DEC 15 /LOZ5 40 PUT	-1	18	40	0.25	0.16	72.89	17.41	-14.64
1/1000 DEC 15 /LOZ5 42.5 PUT	-1	18	42.5	0.43	0.43	175.99	29.34	-27.29
1/1000 DEC 15 /LOZ5 44.5 PUT	-1	18	44.5	1.12	0.93	324.92	38.89	-37.92
1/1000 DEC 15 /LOZ5 46.5 PUT	-1	18	46.5	2.1	1.8	514.54	41.94	-41.96
/NG						8.58	10.36	-22.21	-$1,217.00
Natural Gas Futures,Jan-2016,ETH	0	60		0	2.421	0	0	0
1/10000 JAN 16 /ONF6 1.95 PUT	-1	59	1.95	0.041	0.045	8.58	10.36	-22.21
Totals						1060.01	120.89	-133.49	-$15,636.00

More Dec 15 WTI

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/29/2015 11:12	SINGLE	SELL	-1	TO OPEN	/CLZ5 1/1000 DEC 15	/LOZ5	40	PUT	0.25

Nat Gas

	Exec Time	Qty	Symbol	Exp	Strike	Type	Price
	10/26/2015 14:02	-1	/NGF6  JAN 16	/ONF6	1.95	PUT	0.041

Nat Gas, WTI and SP500 Trends.

Nat Gas

The November Nat Gas contract broke below $2.4 and fell to $2.281 (three days to expiration). Four days later one can trade Feb16 options.

Dec15 $2.486; Jan16 $2.630; Feb16 $2.647; Mar16 $2.625; Apr16 $2.550; May16 $2.579.

So far Jan16 to May16 period has relatively flat price line . Around $2 is an attractive price domain.

WTI

Oil is trending below $44 support. $40, 35, 30 are price levels for a long term play. Risk of Goldman's  $20 show should be taken into account.

SP500

SP500 reached levels where  day trading looks attractive.

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P.S.

Invest at your own risk.  

The Meeting

"OPEC Hosts Meeting With Oil Officials From Non-Member States

Meeting is unlikely to yield an agreement to pull back on production." 

source wsj.com

Position Summary

Instrument	Qty	Days	Trade Price	Mark	Delta	Theta	Vega	Strike
/CL					852.42	56.38	-88.33
Light Sweet Crude Oil Dec-2015	0	31	0	45.92	0	0	0
1/1000 DEC 15 /LOZ5 34.0 PUT	2	28	0.05	0.05	-37.71	-11.24	11.98	34
1/1000 DEC 15 /LOZ5 44.5 PUT	-1	28	1.12	1.4	367.93	33.31	-48.78	44.5
1/1000 DEC 15 /LOZ5 46.5 PUT	-1	28	2.1	2.33	522.2	34.31	-51.52	46.5

Second Trade Cycle : More Dec WTI

Exec Time	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price
10/20/2015 11:32	BUY	2	TO OPEN	/CLZ5  DEC 15	/LOZ5	34	PUT	0.05	0.05
10/20/2015 11:29	SELL	-1	TO OPEN	/CLZ5  DEC 15	/LOZ5	46.5	PUT	2.1	2.1

Second Trade Cycle

Exec Time	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/16/2015 11:44	SELL	-1	TO OPEN	/CLZ5 DEC 15	/LOZ5	44.5	PUT	1.12

First Trade Cycle is Done

Previous state of the trade was as follows:

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/8/2015 12:45	SINGLE	BUY	1	CLOSE	/CLX5	/LOX5	44	PUT	0.07
10/2/2015 11:06	STRADDLE	SELL	-1	OPEN	/CLX5	/LOX5	44	CALL	1.59
		SELL	-1	OPEN	/CLX5	/LOX5	44	PUT	1.34
10/2/2015 11:04	FUTURE	BUY	1	OPEN	/CLX5	15-Nov		FUTURE	44.25

 Yesterday /LOX5 44 CALL  expired in the money. Thus /CLX5 was closed  @44.

 Total balance of  First Trade :
 Put  Leg                                        (1.34-0.07)*1000-2*3.72=1262.56
 Call Leg & Futures                      (1.59+44.-44.25) -3*3.72=1329.88
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Total:                                                                                       $2592.44


Account
 10/03/2015                           $100,000.00                                   
 10/13/2015                           $100,425.00  Crack Spread Scalp
 10/15/2015                           $103,017.00  Fist Trade Closed                       

Crack Spread Basics

"Crack Spread" is the difference between the prices of the oil products and oil itself.
The simple 1:1crack spread per barrel is  given by formula 42*RB - CL. For example, today Peppa George II bought 1:1 Jan16-Jan16 spread for (42 *$1.3512 -$48.96)/barrel and sold for (42*$1.3579-$48.8)/barrel. Those numbers are 7.7904 and  8.2318, respectively.  Both RB and CL contracts are for 1000barrels.  $Profit is (8.2318-7.7904)*1000 -14.88 which is about $425.

For more information google Crack Spread Handbook at cme.com

/RB -/CL is Closed +$400 of realized profit after fees

That's Scalp +$400.

10/13/2015 13:18	FUTURE	SELL	-1	CLOSE	/RBF6	16-Jan		FUTURE	1.3579	1.3579	MKT
10/13/2015 13:18	FUTURE	BUY	1	CLOSE	/CLF6	16-Jan		FUTURE	48.8	48.8	MKT
10/13/2015 11:26	FUTURE	BUY	1	OPEN	/RBF6	16-Jan		FUTURE	1.3512	1.3512	MKT
10/13/2015 11:26	FUTURE	SELL	-1	OPEN	/CLF6	16-Jan		FUTURE	48.96	48.96	MKT

/RB - /CL spread

 10/13/2015 11:26 FUTURE  BUY 1 TO OPEN /RBF6 16-Jan FUTURE 1.3512  MKT
 10/13/2015 11:26 FUTURE SELL -1 TO OPEN /CLF6 16-Jan FUTURE 48.96    MKT

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Goldman Projects "Lower For Even Longer"

via goldmansachs.com

Price Outlook: Prices have declined sharply over the past month to our previous $45/bbl forecast. Part of this was precipitated by macroeconomic concerns but in our view, it was also warranted by weak fundamentals. In line with our oversupplied outlook, we have changed our 3, 6 and 12-month WTI forecasts to $42/bbl, $40/bbl and $45/bbl.
Time spread Outlook: Time spreads should remain in contango as the market needs to incentivize storage since there is insufficient demand to absorb supply.



At least they stopped calling  $20. Just 3 days left to round up the first trade.

Energy Price Spreads

• WTI:          $price of CL futures / 5.8;           today it  is about $8.6 
• Nat Gas:    $price of NG futures;                  today it  is about $2.5
• Coal:         $price  of QL futures / 19.548;    today it  is about $2        

      are paid for the same mmBTU amount of energy.
      So far coal is the cheapest source of energy  in the US.
     

Figure.  US Monthly  Oil vs Gas price spread per mmBTU .
 

  

Oil Prices vs Production

How the U.S. and OPEC Drive Oil Prices

By JEREMY ASHKENAS, ALICIA PARLAPIANO and HANNAH FAIRFIELD

As of early 2015, the IEA Oil Market Report forecast average demand for the year of more than 93 million barrels of oil and liquid fuels per day worldwide – that works out to more than 34 billion barrels a year – with January 2015 production totalling just over 94 million barrels per day. www.iea.org 

First Trade Updated

Take off PUT Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price 10/8/2015 12:45  SINGLE BUY  1  CLOSE /CLX5 /LOX5 44 PUT 0.07 0.07 10/2/2015 11:06  STRADDLE  SELL -1 OPEN /CLX5 /LOX5 44 CALL 1.59 2.93 SELL -1  OPEN /CLX5 /LOX5 44 PUT 1.34 CREDIT 10/2/2015 11:04  FUTURE BUY  1  OPEN /CLX5 15-Nov FUTURE 44.25 44.25