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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
Interesting crude curve shape currently.
Which got me thinking. Have I ever seen a U shape that steep before. Just eyeballing that chart you can see that both Z9 and Z4 are about $3 above Z1. So despite the Z9-Z4 spread being approximately flat, the Z9-Z1-Z4 Butterfly is approximately $6!
So to keep things symmetrical I want to look at Z9-Z1-Z3 which is obviously not quite as exaggerated. Also I want to look at 'constant maturity'. So since Z9 is currently the 4th contract I am going to look at CL04-CL28-CL52 and this is what we get.
So yes, in the last 5 years, this is about as U'y as the curve has ever been!
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
Sorry 2nd post.
Right after I posted that, I thought, doesn't the Eurodollar (ie 90 day LIBOR) curve have the same shape.
Obviously axis are scaled but interesting none the less.
For those that don't know Eurodollar Futures prices are (100 minus the 90 day LIBOR rate on the day of expiry) so a price of 98 represents an interest rate of 2%