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
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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
Trading crude oil – Rising volatility across oil, commodity groups and crops
Before we get into actual crude oil volatility figures, here is a quick ready reference that you can use to interpret the graphs and data series below. A 1% daily volatility number scales into a 15.5% annualized volatility estimate. A 3% daily volatility number scales to 46.5%. Here is the trailing volatility for crude oil…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
Oil price outlook – Oil breaks 68, Euro touches 1.22, inventories data out later today
NYMEX futures fell Tuesday to 67.75 a barrel after rising over the 70 dollar barrier on Monday. US crude oil inventories data is out later today and the price fall is in anticipation of another expected rise in inventories. A turn in the inventories number may very well take oil futures up again, if it…Read more
Technorati Top 100 – Crude Oil Insights
So before Technorati wakes up and tells me that it was all a cruel sad mistake and there is no way on this planet (or any other for that matter) that anyone sane is going to entrust me with a 550 rating, that too for a collection of really badly drawan excel graphs and equally…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