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Anomalies in the behavior of calendar spreads on oil

Perchanok Kirill Grigorievich  ()

Spread, which involves the simultaneous purchase and sale of futures contracts on the same commodity but different delivery month vnutrirynochnym called the spread. Very often this type of spread is also called a calendar spread. Calendar spreads - a very popular tool among professional investors trading in the futures markets. The article deals with calendar spreads on crude oil Light Sweet Crude Oil (WTI) (Exchange NYMEX). Since the beginning of the use of these futures market has never seen a situation where multiple values of contango exceeds the overhead storage. However, since 2008 the market began to observe the situation of the anomalous behavior of calendar spreads, oil prices, which were described in this article, as well as analyzed the causes of such anomalies.

Keywords:Spread oil market, futures
 

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Citation link:
Perchanok K. G. Anomalies in the behavior of calendar spreads on oil // Современная наука: актуальные проблемы теории и практики. Серия: ЭКОНОМИКА и ПРАВО. -2011. -№01. -С. 75-79
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