Energiewerks DataPro Heating Oil Time Spreads Analyzer is used by quantitative / technical traders to identify profitable trend or mean reverting trades.

Twelve reports, one for each contract month of the year as the buy leg, out two years from publish date, is included in the offering.

Analysis of each spread consists of

  • statistics for the spread
  • a line plot of spread for the last ninety days
  • a histogram providing a distribution of prices
  • a box plot of prices over the same period
  • A daily email with links to the reports are sent out every business day.

    The following is an example of statistics for the June 2017 / January 2018 spread

    HO – Spread, Sell January, 2018, Buy June, 2017 :

    For the HO Spread – Sell January, 2018/Buy June, 2017, low end of the trading range over the last 90 days is 0.0518 and high end of the trading range is 0.0766.

    Yesterday’s close is 0.0542. Previous close is 0.0535. Seven business days ago the contract settled at 0.0537. Fifteen business days ago the contract settled at 0.066.

    Statistical measures :

    Standard deviation is 0.0064. Variance is 0. Mean is 0.0648.

    One, two and three standard deviations above mean is 0.0712,0.0775,0.0839. One, two and three standard deviations below mean is 0.0585,0.0521,0.0458.

    The following graphs are a sample of the spread between the June 2017 / January 2018 contract ( Buy June 2017 / Sell January 2018 ) that are included in the daily report.

    Buy June 2017 / Sell January 2018

    HOBJun2017SJan2018lineplot

    HOBJun2017SJan2018histogram HOBJun2017SJan2018boxplot

    The line plot provides the historical movement of the spread over the last ninety days. The histogram provides the distribution of prices over the last 90 days with a density plot. The box plot covers the spread over the last ninety days.

    In addition to the spread, the report also includes statistics for the underlying contracts.

    Analysis of the data and graphs associated with the underlying contracts coupled with the spread analysis allows identification of profitable trading ideas around spreads.

    Representative graphs associated with individual contracts are as follows

    June 2017

    HOJun2017Lineplot

    HOJun2017Histogram HOJun2017BoxPlot
    January 2018
    HOJan2018Lineplot HOJan2018Histogram HOJan2018BoxPlot

    Individual underlying contracts analysis are available in the Energiewerks DataPro Heating Oil Outrights Statistical Analyzer.

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