Most analysts are now talking about 1.18 as the next new low for Euro. There were rumors of Chinese officials reviewing their Euro-zone debt holdings, more concerns about Spain and Italy and the extent, depth and length of a slowdown in Europe on account of austerity measures. The fall in Euro last night in New…Read more
Crude Oil
Crude Oil price outlook – Crude oil crosses $71.45 at 2pm Eastern time, NYMEX higher by 3.9%
Interesting whiplash action today compared to yesterday as crude rises by almost 4% despite an EIA reported rise in crude inventories and a drop in gasoline stocks, an improvement in durable goods orders and the first decline in 10 weeks at the inventory number in Cushing, OK where deliveries for the WTI crude oil contract…Read more
Calculating Value at Risk – Caveats, qualifications, issues
Qualifications to using and Limitations of the Value at Risk (VaR) Metric VaR is dependent on historical data and therefore may never fully capture severe shocks that exceed recent or historical norms. Also if the time period used in the calculation is a relatively stable one then the computed VaR will tend to understate the…Read more
Crude Oil price outlook – Oil picks up 1.7 dollars, rises across Asia and Europe
I can finally breathe a sigh of relief as my out of money call options on oil (USO) start showing some sign of life as crude oil for July delivery picks up 1.7 dollars on rising equities, lower gasoline stocks and the expected EIA report later today. Oil rose across trading in Asia and Europe…Read more
Crude Oil Trading – Weekly oil price outlook
The key factors to consider right now are the liquidity and solvency concerns being raised due to the contagion effect of the European debt crisis. Both these concerns are being raised due to fear for lack of availability of credit to businesses and are reinforced by the jump in LIBOR rates. If these credit concerns…Read more
Oil price outlook – BAML revises crude oil outlook downwards
Bank of American Merrill Lynch (BAML) finally updated their 2010 second half crude oil numbers downwards to 78 from their earlier reiterated outlook of 92. BAML was one of the few oil bulls left standing when oil continued its march northwards of 85, side by side by Goldman Sachs (GS). While a lot of analysts…Read more
Crude Oil Price outlook – Detecting mispricing in precious metals and crude oil using trailing correlations
I asked Agnes, our resident actuarial genius to run some more numbers on the crude oil and commodities correlation series that we had been playing with. Here is what she turned in today before heading home. If you have just arrived, the concept is simple. In times of stress correlations break down. Sometime they return…Read more
Crude Oil price outlook – Is oil fairly priced now or still expensive. Or what can a barrel of oil buy – part ii
A few posts ago we ran a simple basic analysis looking at the relative value of oil with respect to a number of other core commodities. We revisit that post again with more recent and updated data as well as add a table that allows for a quick relative comparison of commodity prices against crude…Read more
Euro and Oil outlook – Trailing correlation between crude oil prices and Euro-USD exchange rates
And here they are. The two graphs that I had promised in my earlier post on trailing correlations on the Euro-USD exchange rate and crude oil prices. The first with the Euro-USD exchange rate. The second with oil prices. While the first does not really suggest a relationship, the second raises an interesting point. This…Read more
Crude Oil price outlook – the change in trailing correlations – Crude Oil blends and Euro-USD exchange rate
I suspected that this was happening but didn’t want to pass judgment till I saw the data myself. I want you to see it yourself also. Here is 60 day trailing correlation between the various blends of crude oil and the Euro-USD exchange rate. Can you see the dive starting April 2010? The last time…Read more