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I'm wondering if anyone can point out Oil sector macro research, maybe industry insights and market expectations for the next few years. Perfect would be those sell side industry and economic reports that tiger trader used to post.
Thank you for this and the rest of your posts. Still working on this, looking at curves and charts every night, and also brushing up on my Excel skills.
At the moment I'm looking at avoiding and managing the flys that wander off and get directional early on, such as the one attached. I guess this is my biggest concern. Do you have any advice or hints where I should continue my search? I'm fine with doing my own homework and I have a maths background.
Also if you've read it, I'm also wondering if Doug Huggins book provides any techniques that may be transferable to CL? If yes then I'll get it this week.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,409
Thanks Received: 10,225
Interesting. He made it sound pretty easy if you have the information. I know if I was doing that interview I definitely wouldn't give away any secret sauce but there was a lot of implication and a lot less information in there. For example he mentioned that market making gives him an edge multiple times, gasoline in the med, crude with the nigerians, etc, but never discussed in anyway what that means or how they do that. His explanation of the OTC markets while maybe not inaccurate was definitely confusing as evidenced by Aaron Fifield's response. Saying all that it definitely gives non-insiders a peek into some of the inner workings of the oil market.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,409
Thanks Received: 10,225
If I'm reading this right that chart is the Z 3456 double fly back in 2003. I was a NatGas trader back then so can't give you any personal recollections of what was going on. Personally though I do not trade any of these mean-reverting statistical style trades close to expiry. For my 6 month flys I have hard rules to start scaling out of positions 100 trading days (~ 5 months) prior to expiry with no positions at all in the last 50 trading days (~ 2.5 months). I don't have hard rules in the 12 month flys (since they are so much more difficult to trade) but I start reducing positions in those even earlier than the 6 month flys. For example right now I have a very small (<10 lots) z890 position, and will be reducing not increasing that as we move forward. If you look at the chart things went crazy for the first time in Jan2003, which is about 240 trading days before expiry, so I may have been caught in that. They went crazy the second time in Jul2003 which was only 70 days before expiry so I doubt I would have traded that.
I have a math background as well, but I'm getting old and most of it isn't as fresh as it used to be. It's been a while since I read Doug's book, but if I remember correctly a lot of it went over my head.
Specific to this type of trading not really. There's lots of equities style statarb/hft books out there, but to be honest most of it went over my head also. I watch a lot of the online video's, webinar's, podcasts etc which are generally educational, but very few if any, are as specific to what we are talking about. The space is so small there can't be that many people looking at it.
Would it be fair to say that the ideas and concepts themselves are not too complex, but that a lot of the skill in this form of trading comes from the risk management of the trades?
You briefly touched on some things that need to be considered, such as spreading risk through a series of flys, moving in and out of different parts of a position to capture kinks whilst maintaining your core position etc.
I guess what I'm suggesting is maybe there is enough info out there (your posts, curve advisor, info on other forums regarding butterflies) to start testing these methods, but the real decider will be how people manage their risk and positions based on these concepts. Would you agree?
I start this reply with "In my very limited experience .... " ... risk management wise it looks like the more complex correct spreads take care of themselves, ... and for the simpler correct spreads it looks like a matter of "can you handle the drawdown". I must admit this is for trading the chart and not looking for kinks in the curve. I have so much to learn.