Natural Gas
- Creatore Discussione Fleursdumal
- Data di Inizio
Fleursdumal
फूल की बुराई
sul dato settimanale mazzata sul future ma gli spread si mantengono stabili sia su v-x che su x-z attorno a -1,6
Storage Highlights:
Working gas in storage was 3,084 Bcf as of Friday, September 8, 2006, according to EIA estimates. This represents a net increase of 108 Bcf from the previous week. Stocks were 339 Bcf higher than last year at this time and 341 Bcf above the 5-year average of 2,743 Bcf. In the East Region, stocks were 188 Bcf above the 5-year average following net injections of 65 Bcf. Stocks in the Producing Region were 105 Bcf above the 5-year average of 781 Bcf after a net injection of 33 Bcf. Stocks in the West Region were 49 Bcf above the 5-year average after a net addition of 10 Bcf. At 3,084 Bcf, total working gas is above the 5-year historical range.
Storage Highlights:
Working gas in storage was 3,084 Bcf as of Friday, September 8, 2006, according to EIA estimates. This represents a net increase of 108 Bcf from the previous week. Stocks were 339 Bcf higher than last year at this time and 341 Bcf above the 5-year average of 2,743 Bcf. In the East Region, stocks were 188 Bcf above the 5-year average following net injections of 65 Bcf. Stocks in the Producing Region were 105 Bcf above the 5-year average of 781 Bcf after a net injection of 33 Bcf. Stocks in the West Region were 49 Bcf above the 5-year average after a net addition of 10 Bcf. At 3,084 Bcf, total working gas is above the 5-year historical range.
tontolina
Forumer storico
metto qui un articolo sul WTIC .. perchè è correlato con il gas
Petrolio e finanza ... (11/09/2006)
http://www.norisk.it/index.php/article/articleview/2050/1/24/
Sul finire del mese di agosto gli operatori finanziari, oltre che interessarsi di dati economici e finanziari, hanno mostrato un forte interesse verso la meteorologia: l’attenzione era rivolta verso “Ernesto”, il temibile uragano che nei timori di molti avrebbe potuto ripetere la calamità provocata da Katrina, esattamente un anno fa. Fortunatamente Ernesto si è rivelato una semplice tempesta tropicale, ma secondo gli addetti il rischio uragani potrebbe ancora persistere (in particolare il mese di settembre è generalmente quello in cui questi fenomeni avvengono più di frequente).
Considerando la dinamica del prezzo del petrolio si nota che in un mese questo è calato del 12%, passando da 76 dollari al barile a 67: il livello più basso dagli ultimi 5 mesi. Il deprezzamento è stato causato dall’allentarsi delle tensioni nel Libano, dalle riserve USA che si sono dimostrati superiori alle stime, oltre dal timore uragano; quest’ultimo infatti avrebbe dovuto colpire il Golfo del Messico dove sono presenti molti impianti petroliferi delle principali società americane (in particolare Chevron e Devon) e dell’europea Shell. La peculiarità dell’attività estrattiva (che richiede di perforare rocce molto dure poste a migliaia di metri sotto il livello del mare) fa riflettere sui progressi compiuti dall’ingegneria del sottosuolo e dei materiali, che hanno permesso di realizzare progetti che fino a poco tempo fa risultavano antieconomici.
Secondo alcuni il calo dell’oro nero non sarebbe un fenomeno di breve durata ma destinato a perdurare nel tempo: il rallentamento economico che si sta delineando per il 2007 (sembra che gli unici dubbi riguardino l’intensità con il quale questo avverrà) infatti dovrebbe comportare una minore domanda di questa materia prima e dunque un abbassamento dei prezzi. Se da un lato la riduzione del costo del petrolio stimola la spesa dei consumatori USA (verso cui la comunità finanziaria pone grande interesse), dall’altro potrebbe peggiorare l’indice di fiducia, poiché potrebbe essere interpretato come segno di debolezza economica (con la conseguente anticipazione del rallentamento economico).
Figura 1: Andamento del prezzo del petrolio WTI negli ultimi 3 anni.
Un cambiamento di medio termine nell’andamento della commodity in oggetto può delineare un effetto a macchia d’olio con effetti sugli indici azionari, non solo sulle società del settore energy ma anche agli indici total market, e sulle economie dei paesi esportatori. Il peso delle società petrolifere all’interno degli indici generali è piuttosto alto: per il DJ Stoxx 600 è circa il 10%, per il S&P 500 è il 9%, ma per il FTSE 100 è il 19%; la cattiva performance del settore oil dunque crea un effetto negativo che può maggiore rispetto al vantaggio che altri settori, tra cui quello industriale e chimico, possono avere dalla riduzione dei costi. In aggiunta vi sarebbero importanti implicazioni per i paesi esportatori, specie Messico e Russia, che hanno beneficiato in questi anni di una forte crescita economica.
L’alta correlazione che vi è tra materia prima e società del settore oil, ha comportato nell’ultimo periodo un rendimento negativo per queste ultime.
Valutiamo ora l’attrattività di questo comparto considerando i fondamentali dei due indici indicati sopra. Iniziamo con gli indici USA. Il rapporto tra P/Sales del S&P Energy rispetto al S&P 500 (oggi rispettivamente pari a 0,97 e 1,41) è stato negli ultimi 4 anni compreso tra 1,2 e 1,6: negli ultimi mesi si sta attestando intorno a 1,4; anche la situazione finanziaria è positiva: il leverage è inferiore (36% contro 51%) e soprattutto il costo per interessi passivi incide per circa il 7% del risultato operativo (contro l’11% del S&P 500).
Per le società europee la situazione è buona, ma meno rosea: il rapporto P/Sales tra gli indici DJ Stoxx oil&gas e DJ Stoxx 600 (oggi rispettivamente pari a 0,87 per il contro 1,10) è variato negli ultimi 4 anni tra lo 0,8 (ossia maggiore onerosità relativa dei titoli energy rispetto a indice total market) e l’1,35 e negli ultimi mesi è intorno a 1,25; per quanto riguarda la dinamica del P/E invece (attualmente 10,20 contro 14,57) da circa 2 anni i dati si trovano su una media del 1,3. Inoltre il peso dei debiti rispetto al capitale proprio è simile a quello dell’indice generale (50% rispetto a 55%) ma il peso degli interessi sul risultato operativo è assai minore (rispettivamente il 5% rispetto al 16%) per via della maggiore redditività operativa. La sensibilità delle società petrolifere ad un innalzamento dei tassi non è tanto diretta, dato che come visto gli interessi passivi in rapporto all’Ebit sono piuttosto “leggeri”, quanto indiretta: una manovra monetaria restrittiva, infatti, può provocare una sensibile riduzione dei tassi di crescita economica e questo penalizza particolarmente i settori ciclici come quello petrolifero.
E’ probabile che nei prossimi mesi si assisterà ad una crescita per questi titoli molto più modesta rispetto agli ultimi anni: si consideri che negli ultimi tre anni lo S&P Energy ha guadagnato il 104% contro il 17% dello S&P 500.
In questa settimana il Fondo Monetario Internazionale ha lanciato un warning circa la concreta possibilità di una caduta di prezzo delle commodies (in particolare i metalli industriali dovrebbero calare tra il 35% e il 50% entro il 2010): sembra proprio che l’era dell’oro per le società legate alle materie prime sia arrivata ad una svolta.
In conclusione si segnalano gli etf settoriali per coloro vogliano investire sul settore oil&gas: in Europa si può scegliere tra: DJ Stoxx 600 Oil & Gas-EX (SXEPEX.FRA), DJ Stoxx 600 Oil & Gas Swap-EX (SXEREX.FRA); se si vuole investire sul mercato americano, invece, si può scommettere su: DJ U.S. Energy-IS (IYE.N), S&P Energy-SP (XLE.A), MSCI US Energy I.M.-VG (VDE.A), DJ US Select Oil Exploration & Production-IS (IEO.N), SPDR Oil & Gas Equipment & Services ETF –ST (XES.A)
Petrolio e finanza ... (11/09/2006)
http://www.norisk.it/index.php/article/articleview/2050/1/24/
Sul finire del mese di agosto gli operatori finanziari, oltre che interessarsi di dati economici e finanziari, hanno mostrato un forte interesse verso la meteorologia: l’attenzione era rivolta verso “Ernesto”, il temibile uragano che nei timori di molti avrebbe potuto ripetere la calamità provocata da Katrina, esattamente un anno fa. Fortunatamente Ernesto si è rivelato una semplice tempesta tropicale, ma secondo gli addetti il rischio uragani potrebbe ancora persistere (in particolare il mese di settembre è generalmente quello in cui questi fenomeni avvengono più di frequente).
Considerando la dinamica del prezzo del petrolio si nota che in un mese questo è calato del 12%, passando da 76 dollari al barile a 67: il livello più basso dagli ultimi 5 mesi. Il deprezzamento è stato causato dall’allentarsi delle tensioni nel Libano, dalle riserve USA che si sono dimostrati superiori alle stime, oltre dal timore uragano; quest’ultimo infatti avrebbe dovuto colpire il Golfo del Messico dove sono presenti molti impianti petroliferi delle principali società americane (in particolare Chevron e Devon) e dell’europea Shell. La peculiarità dell’attività estrattiva (che richiede di perforare rocce molto dure poste a migliaia di metri sotto il livello del mare) fa riflettere sui progressi compiuti dall’ingegneria del sottosuolo e dei materiali, che hanno permesso di realizzare progetti che fino a poco tempo fa risultavano antieconomici.
Secondo alcuni il calo dell’oro nero non sarebbe un fenomeno di breve durata ma destinato a perdurare nel tempo: il rallentamento economico che si sta delineando per il 2007 (sembra che gli unici dubbi riguardino l’intensità con il quale questo avverrà) infatti dovrebbe comportare una minore domanda di questa materia prima e dunque un abbassamento dei prezzi. Se da un lato la riduzione del costo del petrolio stimola la spesa dei consumatori USA (verso cui la comunità finanziaria pone grande interesse), dall’altro potrebbe peggiorare l’indice di fiducia, poiché potrebbe essere interpretato come segno di debolezza economica (con la conseguente anticipazione del rallentamento economico).
Figura 1: Andamento del prezzo del petrolio WTI negli ultimi 3 anni.
Un cambiamento di medio termine nell’andamento della commodity in oggetto può delineare un effetto a macchia d’olio con effetti sugli indici azionari, non solo sulle società del settore energy ma anche agli indici total market, e sulle economie dei paesi esportatori. Il peso delle società petrolifere all’interno degli indici generali è piuttosto alto: per il DJ Stoxx 600 è circa il 10%, per il S&P 500 è il 9%, ma per il FTSE 100 è il 19%; la cattiva performance del settore oil dunque crea un effetto negativo che può maggiore rispetto al vantaggio che altri settori, tra cui quello industriale e chimico, possono avere dalla riduzione dei costi. In aggiunta vi sarebbero importanti implicazioni per i paesi esportatori, specie Messico e Russia, che hanno beneficiato in questi anni di una forte crescita economica.
L’alta correlazione che vi è tra materia prima e società del settore oil, ha comportato nell’ultimo periodo un rendimento negativo per queste ultime.
Valutiamo ora l’attrattività di questo comparto considerando i fondamentali dei due indici indicati sopra. Iniziamo con gli indici USA. Il rapporto tra P/Sales del S&P Energy rispetto al S&P 500 (oggi rispettivamente pari a 0,97 e 1,41) è stato negli ultimi 4 anni compreso tra 1,2 e 1,6: negli ultimi mesi si sta attestando intorno a 1,4; anche la situazione finanziaria è positiva: il leverage è inferiore (36% contro 51%) e soprattutto il costo per interessi passivi incide per circa il 7% del risultato operativo (contro l’11% del S&P 500).
Per le società europee la situazione è buona, ma meno rosea: il rapporto P/Sales tra gli indici DJ Stoxx oil&gas e DJ Stoxx 600 (oggi rispettivamente pari a 0,87 per il contro 1,10) è variato negli ultimi 4 anni tra lo 0,8 (ossia maggiore onerosità relativa dei titoli energy rispetto a indice total market) e l’1,35 e negli ultimi mesi è intorno a 1,25; per quanto riguarda la dinamica del P/E invece (attualmente 10,20 contro 14,57) da circa 2 anni i dati si trovano su una media del 1,3. Inoltre il peso dei debiti rispetto al capitale proprio è simile a quello dell’indice generale (50% rispetto a 55%) ma il peso degli interessi sul risultato operativo è assai minore (rispettivamente il 5% rispetto al 16%) per via della maggiore redditività operativa. La sensibilità delle società petrolifere ad un innalzamento dei tassi non è tanto diretta, dato che come visto gli interessi passivi in rapporto all’Ebit sono piuttosto “leggeri”, quanto indiretta: una manovra monetaria restrittiva, infatti, può provocare una sensibile riduzione dei tassi di crescita economica e questo penalizza particolarmente i settori ciclici come quello petrolifero.
E’ probabile che nei prossimi mesi si assisterà ad una crescita per questi titoli molto più modesta rispetto agli ultimi anni: si consideri che negli ultimi tre anni lo S&P Energy ha guadagnato il 104% contro il 17% dello S&P 500.
In questa settimana il Fondo Monetario Internazionale ha lanciato un warning circa la concreta possibilità di una caduta di prezzo delle commodies (in particolare i metalli industriali dovrebbero calare tra il 35% e il 50% entro il 2010): sembra proprio che l’era dell’oro per le società legate alle materie prime sia arrivata ad una svolta.
In conclusione si segnalano gli etf settoriali per coloro vogliano investire sul settore oil&gas: in Europa si può scegliere tra: DJ Stoxx 600 Oil & Gas-EX (SXEPEX.FRA), DJ Stoxx 600 Oil & Gas Swap-EX (SXEREX.FRA); se si vuole investire sul mercato americano, invece, si può scommettere su: DJ U.S. Energy-IS (IYE.N), S&P Energy-SP (XLE.A), MSCI US Energy I.M.-VG (VDE.A), DJ US Select Oil Exploration & Production-IS (IEO.N), SPDR Oil & Gas Equipment & Services ETF –ST (XES.A)
Fleursdumal
फूल की बुराई
ditropan ha scritto:Giorno
... intanto lo spread sul gas tra scadenza novembre ed ottobre questa mattina è ancora in calo ... chi si fosse cimentato in questo momento si porterebbe a casa 1$ buono, pari a 10.000$ sul contratto pieno.
Image Replaced With URL For Only One Quote MOD: http://www.investireoggi.it/phpBB2/immagini/1158563235azz1.jpg
gulp che piombata
manca una settimana più o meno alla scadenza dell'ottobre, ora fa -1,14 avanzo il trail a -1,20 e così molto probabile che mi prenda oggi ma gli faccio una scalpo di una figura tonda ; fa bene assentarsi qualche giorno 
alpin stai meditando una entrata sul nov-dic?
Fleursdumal
फूल की बुराई
well ieri è finita la cavalcata sullo spread v-x , attendant la scadenza del contratto oct
Fleursdumal
फूल की बुराई
Short-Term Energy Outlook
September 12th, 2006 Release
(Next Update: October 10th, 2006)
Overview
August began with a surge in oil prices, as BP Oil Company announced a reduction in oil production from Alaska’s Prudhoe Bay. However, August ended with falling oil prices, led by the earlier-than-expected seasonal decline in gasoline prices.
The average retail price of regular motor gasoline fell from $3.04 per gallon on August 7, 2006, to $2.62 per gallon on September 11, 2006, and is expected to fall to an average of $2.55 per gallon in January 2007 before rising again into next summer.
In 2006 and 2007, the WTI crude oil spot price is projected to average around $70 per barrel (West Texas Intermediate Crude Oil Price). Retail regular gasoline prices are projected to average about $2.65 per gallon in both 2006 and 2007 ( Gasoline and Crude Oil Prices).
Natural gas Henry Hub spot prices, which averaged about $6.74 per thousand cubic feet (mcf) this summer, are projected to increase as demand for winter heating fuel grows. However, the expected 2006 average of $7.51 per mcf for Henry Hub spot prices would be $1.35 lower than the 2005 average (Natural Gas Henry Hub Spot Prices). For 2007, the Henry Hub average price will likely move back up to an average of $8.30 per mcf, assuming sustained high oil prices, normal weather, and continued economic expansion in the United States.
Natural Gas Markets
The warmer-than-normal weather this past winter left natural gas inventories at high levels at the start of the non-heating, or refill, season, which runs from April through October (U.S. Working Natural Gas in Storage). At the end of March 2006, there were 1,692 billion cubic feet (bcf) of working natural gas in inventory, 626 bcf above the average of the last 5 years. However, over the summer this inventory cushion has slowly eroded. In particular, very warm weather at the end of July plus high inventories resulted in the first weekly net drawdown of natural gas inventory during the summer months in at least 12 years. Working natural gas inventory on September 1, 2006, was 2,976 bcf, 322 bcf above the average of the last 5 years. Natural gas working inventories are expected to start this winter’s heating season at the highest levels since 1990. Inventories are expected to total 3,429 bcf at the end of October, 298 bcf above the 5-year average.
High natural gas inventories have helped keep natural gas spot prices down. Spot Henry Hub natural gas prices, which averaged $13.44 per mcf in December 2005, fell to an average of about $6.74 per mcf in the second and third quarters. Barring extreme weather for the rest of the year, we expect the Henry Hub spot price to increase to an average of almost $10 per mcf by this January and then fall back to an average $7 per mcf by next summer. The Henry Hub price, which averaged $8.86 per mcf in 2005, is expected to average $7.51 per mcf in 2006 and $8.30 per mcf in 2007.
In 2006, total U.S. natural gas consumption is projected to fall below 2005 levels by about 240 bcf, or 1.1 percent, then increase by 880 bcf, or 4.1 percent, in 2007 (Total U.S. Natural Gas Consumption Growth). Residential natural gas consumption is projected to fall in 2006 by 7.5 percent from 2005 levels because of mild weather early in 2006 and then increase by 9.2 percent in 2007, assuming normal weather.
Dry natural gas production is projected to increase by 1.1 percent in 2006 and by 1.5 percent in 2007. Total liquefied natural gas (LNG) net imports are expected to increase from their 2005 level of 630 bcf to 700 bcf in 2006 and to 940 bcf in 2007.
Electricity Markets
June and July of 2006 were warmer than normal, with U.S. population-weighted cooling degree-days 15 percent above normal (Weather – Cooling Degree-Days) due to the end-of-July heat wave. Total cooling degree-days for 2006 are expected to be 1.5 percent above the 2005 level. Temperatures were also above normal in July last year and stayed above normal for over 2 months. Consequently, cooling degree-days for the third quarter this year are expected to be about 6 percent lower than the third quarter of 2005, but still almost 12 percent above normal. Electricity consumption is expected to increase by 0.9 percent in 2006 and by 1.2 percent in 2007 (Total U.S. Electricity Consumption Growth).
Residential electricity prices are expected to increase by 10.2 percent in 2006 compared with 2005 because the costs of fuels for electricity generation have risen and retail electricity price caps have recently been loosened in some States, particularly in New England and the South Atlantic region, as a result of restructured electricity markets.
September 12th, 2006 Release
(Next Update: October 10th, 2006)
Overview
August began with a surge in oil prices, as BP Oil Company announced a reduction in oil production from Alaska’s Prudhoe Bay. However, August ended with falling oil prices, led by the earlier-than-expected seasonal decline in gasoline prices.
The average retail price of regular motor gasoline fell from $3.04 per gallon on August 7, 2006, to $2.62 per gallon on September 11, 2006, and is expected to fall to an average of $2.55 per gallon in January 2007 before rising again into next summer.
In 2006 and 2007, the WTI crude oil spot price is projected to average around $70 per barrel (West Texas Intermediate Crude Oil Price). Retail regular gasoline prices are projected to average about $2.65 per gallon in both 2006 and 2007 ( Gasoline and Crude Oil Prices).
Natural gas Henry Hub spot prices, which averaged about $6.74 per thousand cubic feet (mcf) this summer, are projected to increase as demand for winter heating fuel grows. However, the expected 2006 average of $7.51 per mcf for Henry Hub spot prices would be $1.35 lower than the 2005 average (Natural Gas Henry Hub Spot Prices). For 2007, the Henry Hub average price will likely move back up to an average of $8.30 per mcf, assuming sustained high oil prices, normal weather, and continued economic expansion in the United States.
Natural Gas Markets
The warmer-than-normal weather this past winter left natural gas inventories at high levels at the start of the non-heating, or refill, season, which runs from April through October (U.S. Working Natural Gas in Storage). At the end of March 2006, there were 1,692 billion cubic feet (bcf) of working natural gas in inventory, 626 bcf above the average of the last 5 years. However, over the summer this inventory cushion has slowly eroded. In particular, very warm weather at the end of July plus high inventories resulted in the first weekly net drawdown of natural gas inventory during the summer months in at least 12 years. Working natural gas inventory on September 1, 2006, was 2,976 bcf, 322 bcf above the average of the last 5 years. Natural gas working inventories are expected to start this winter’s heating season at the highest levels since 1990. Inventories are expected to total 3,429 bcf at the end of October, 298 bcf above the 5-year average.
High natural gas inventories have helped keep natural gas spot prices down. Spot Henry Hub natural gas prices, which averaged $13.44 per mcf in December 2005, fell to an average of about $6.74 per mcf in the second and third quarters. Barring extreme weather for the rest of the year, we expect the Henry Hub spot price to increase to an average of almost $10 per mcf by this January and then fall back to an average $7 per mcf by next summer. The Henry Hub price, which averaged $8.86 per mcf in 2005, is expected to average $7.51 per mcf in 2006 and $8.30 per mcf in 2007.
In 2006, total U.S. natural gas consumption is projected to fall below 2005 levels by about 240 bcf, or 1.1 percent, then increase by 880 bcf, or 4.1 percent, in 2007 (Total U.S. Natural Gas Consumption Growth). Residential natural gas consumption is projected to fall in 2006 by 7.5 percent from 2005 levels because of mild weather early in 2006 and then increase by 9.2 percent in 2007, assuming normal weather.
Dry natural gas production is projected to increase by 1.1 percent in 2006 and by 1.5 percent in 2007. Total liquefied natural gas (LNG) net imports are expected to increase from their 2005 level of 630 bcf to 700 bcf in 2006 and to 940 bcf in 2007.
Electricity Markets
June and July of 2006 were warmer than normal, with U.S. population-weighted cooling degree-days 15 percent above normal (Weather – Cooling Degree-Days) due to the end-of-July heat wave. Total cooling degree-days for 2006 are expected to be 1.5 percent above the 2005 level. Temperatures were also above normal in July last year and stayed above normal for over 2 months. Consequently, cooling degree-days for the third quarter this year are expected to be about 6 percent lower than the third quarter of 2005, but still almost 12 percent above normal. Electricity consumption is expected to increase by 0.9 percent in 2006 and by 1.2 percent in 2007 (Total U.S. Electricity Consumption Growth).
Residential electricity prices are expected to increase by 10.2 percent in 2006 compared with 2005 because the costs of fuels for electricity generation have risen and retail electricity price caps have recently been loosened in some States, particularly in New England and the South Atlantic region, as a result of restructured electricity markets.
Fleursdumal
फूल की बुराई
Hedging Energy Risk
by Nicholas Dazzo
Interest in hedging energy risk is at an all-time high. Prices for most petroleum-based commodities have more than doubled since the end of 2003, and have remained at high levels for longer than many observers expected. For a wide range of businesses, the volatility of energy prices has become a major concern for top executives.
There are as many reasons to hedge as there are hedgers, but essentially the businesses that hedge energy risk break down into two categories. In the first category are the companies that are involved in the production of petroleum-based products. This includes the companies that bring oil and gas out of the ground, all the various types of companies that refine, transport and market petroleum-based products, and the many different types of petrochemical companies that make plastics, fertilizer and so on. All of these companies obviously are affected when energy prices move dramatically higher or lower.
The second category consists of companies in unrelated businesses that nevertheless are affected because of their reliance on petroleum-based products as fuel. Until recently, energy prices had been relatively benign, and the cost of energy was not high enough for many of these companies to warrant a hedge program. Interest in hedging energy risk has now picked up among these companies due to the strong and sustained appreciation of energy prices over the last two years. Although many companies are still on the sidelines considering how best to protect themselves from further shocks, it appears that more and more have completed the necessary cost-benefit analysis and are entering into hedging transactions.
Recent Trends
Transportation companies—ships, railroads, trucks, and especially airlines—are far and away the most intensive users of energy derivatives, mainly because they have the greatest relative exposures to energy prices. While some of these companies may have pulled back from hedging, given the relatively high level of current prices, for the most part active hedgers have kept their programs in place through the cycle.
In fact, recent changes in transportation practices have caused more companies to seek protection. In the last five years most freight transport companies in North America have been able to use fuel surcharges to pass higher energy costs onto their customers. So while their need to hedge energy risk has lessened, their customers are now facing unexpected increases in the prices they pay to ship their goods.
One solution for these customers is to use structured products to cap fuel surcharge exposures. For example, Koch Supply & Trading recently worked with a company looking for a way to minimize barge freight costs for its customers. Rather than passing the barge fuel surcharges onto its downstream customers, it wanted the ability to absorb the cost as a comparative advantage in its market. The solution that we provided was to use average price call options on the underlying fuel price that precisely matched the exposure to an increase in barge surcharge cost in the event of dramatically increased fuel prices. The company passed the cost of the options on to the customer in the form of a fixed increase in per-ton shipping rate. This structure eliminated the variable fuel price exposure for both the KS&T counterparty and its downstream customers.
Why Hedge?
The primary reason that most hedgers come to dealers to establish a hedge program is so that they can focus on their core competencies, and assign the job of managing energy risk to firms that specialize in that area. Suppose you are running an airline, for example. An unexpected increase in the cost of jet fuel can have a huge impact on your expenses, but does it make sense to build your own trading desk to manage that risk? Most likely your managers can add more value by concentrating on the core areas of your business. On the other hand, having the ability to mitigate that risk can be very attractive. In fact, for most airlines, a good hedge on fuel costs can more than offset the benefits of other cost controls.
Another general reason for using a hedge is to lock in a portion of the annual budget. For example, it is quite common for energy producers to use derivatives to lock in a price for a small amount of their production and assign the associated revenues to their capital expenditure budget. In this case, the hedge operates like a guarantee on a future stream of revenues. This allows the companies to demonstrate to their investors that no matter what happens to energy prices, a certain amount of funding will flow into the kinds of expenses necessary to sustain long-term growth in production.
Still another reason is to guarantee performance on some type of financing. This is typically done around an acquisition. If an oil and gas producer is making an acquisition that requires some borrowing over five to 10 years, that company can use derivatives to lock in some portion of its production. This provides some assurance to lenders that they will be repaid, even if energy prices fall well below the projected levels. Higher prices for crude oil justify paying higher multiples for companies with proven reserves in the ground, which makes it all the more important to lock in forward prices for the expected production.
Timing the Market
One question that always comes up when energy prices are relatively high is whether hedging against even higher prices makes economic sense. After all, why would a corporate risk manager lock in a price at this level if he thinks that it is about to fall?
The answer to that question depends on the likelihood not that prices will go down, but rather whether they fluctuate at all. Going back to the first reason for hedging, a corporate risk manager has to decide whether he wants to speculate on market direction. While there may be value in forecasting relative prices between various fuels, it is very difficult to forecast the outright direction of oil and gas prices. Oil and gas markets are influenced by a number of variables beyond the forecasting ability of many commercial users, and therefore it makes sense for customers to stay committed to their hedge programs throughout the ups and downs of the cycle.
It is indeed true that current prices for crude oil are close to all-time highs in nominal terms, so on a probability basis, there is every reason to expect the prices to go down. But that is exactly what people thought last year, and they now realize that they should have bought at lower prices.
Hedging activitiy has come down somewhat among the producers, but has picked up at refiners, petrochemical producers and their customers. Many of these companies did not use energy hedges in the past, but the recent volatility has had such a negative impact on their cost structure that they are now more interested and willing to use oil and gas derivatives to limit their exposure to further shocks.
A key concern for some of these companies is finding the right instrument for the hedge, since the petroleum products they use may be highly specialized and may not correspond to the standardized contracts available in the futures markets. This is where derivatives dealers step in and provide a customized hedge that protects these companies from price risk in a more targeted way.
Customization
Companies that are considering whether to establish a hedge program may wish to start with a limited program so that they can see the dampening effect on their cost structure. There is usually no reason to go from unhedged to fully hedged overnight. It is better to start on an experimental basis and understand how the program functions and how it affects income or expenses, and then consider the costs and benefits of a larger or more comprehensive program.
Corporate risk managers often rely on simple structures that can be understood up and down the chain of command. Chief among these structures are swaps or collars that provide either a fixed price or a price that floats within a band. Although some managers prefer contracts that deliver a certain amount of the underlying commodity when the contract settles, most of the time the contracts are settled in cash. The risk manager's goal is typically to have a profit or loss on their hedge position that comes as close as possible to offsetting their profit or loss on the actual physical exposure. This is not to say that all corporate risk managers hedge their entire energy risk exposures. Rather, they are seeking an offsetting position that matches the volumes they choose to hedge.
Indeed, there is an added reason to choose hedges appropriately. Accounting practices in the U.S. require that hedges be highly correlated with actual physical exposures in order for companies to match income recognition of hedges with changes in the underlying exposures. If the hedge passes the test—and this is something of an art—then the associated gains or losses can be booked against the underlying exposures, and the appreciation or depreciation that are entered for the future do not have to be recorded as current income. If on the other hand the hedge does not pass the test, the gains or losses must be treated as trading gains or losses and the entire position has to be marked to market at the end of every accounting period.
Traditional exchange-traded futures and options may not provide a sufficiently exact hedge, and for this reason, a wide range of structures has been developed in the overthe- counter markets to meet the demand for customized solutions. One of the interesting aspects of the energy derivatives market is that the types of instruments used will vary by the pricing convention of underlying physical market. Sales of crude and refined product is typically done on a monthly average basis, so average price options play a big role in hedge programs. The natural gas business, on the other hand, usually transacts on the basis of an end-of-month price, so there the demand is for standard options.
Another interesting feature of the energy derivatives market is the tremendous importance of locational differences. The price of gasoline and natural gas varies tremendously across the U.S., so there is a very significant need for swaps and options that allow customers to hedge this risk. This also applies to cross-product risk. Refiners, for example, are exposed to the so-called crack spreads between crude and the various types of products that are derived from that, and there is a very active market in crack spreads to hedge their profit margins.
Corporate risk managers also should consider ways to reduce the cost of hedging. Even within the confines of a limited program, there are structures that offer a great deal of flexibility at virtually no cost. This is not to say that the energy derivatives markets are offering a free lunch. Rather, there are ways to fund the primary hedge by selling some sort of option back into the market.
For example, suppose you determine that a $20 increase in the current price of crude oil would have such a serious impact on your profit margin that you decide to buy calls at that upper price to provide some protection. One strategy would be to simply pay for them upfront, which would be equivalent to buying insurance. Another strategy would be to fund the cost of buying those calls by selling puts at a much lower level. If the price does rise by $20 or more, you receive cash based on the movement from the strike price. If on the other hand the price falls and you have to pay out on the puts that you sold, the cost of fulfilling those contracts will be offset by the increased profitability of your core business. This strategy is effectively a trade-off; you are giving up the potential gain if prices fall below a certain level in return for receiving the premiums on the sale of the puts, which in turn helps offset the cost of the calls.
Corporate risk managers also should consider the potential cash flow issues associated with the use of derivatives. If a company has entered a transaction involving swaps or the sale of options, it may be required to post collateral against the hedge if there is an adverse move in market prices, or if the company's credit rating falls below a certain level. (The purchase of options requires only the upfront payment of a premium.) Risk managers therefore need to be aware of the potential cash flow implications if their hedges lose a substantial portion of their value.
The Role of Dealers
None of this would be possible, of course, without the dealer community and the deep and liquid markets for these derivatives. The role of dealers such as KS&T is that they customize the hedges so that they fit a particular need. A crude oil swap, for example, can be customized by quality, location, term, and manner of settlement. This does not mean that the dealers absorb all of the risks transferred by their customers. Rather, they use the available instruments in the derivatives markets— both OTC and listed—to offset portions of these risks.
Typically the outright risks are laid off into the markets, and the basis risks—the differentials between the more standardized products that trade in the markets and the specific characteristics of the products that are sold to the customers—are absorbed by the dealers. So a dealer providing risk management on diesel prices, for example, will probably seek to shed outright price risk on crude, probably on the same day that the hedge is sold to the customer. The risk on the differential between crude and diesel prices stays with the dealer, and therein lies a whole lot of positioning.
Unlike their customers, the dealers own a diversified portfolio of basis risks, and their customers represent a cross-section of corporate risk managers. The dealers are effectively managing a portfolio of risks, with the risk of any one customer reduced through the effects of diversification, and with the outright risk laid off into the markets.
Some dealers also are involved in the physical market through ownership or operation of various assets, such as pipelines and storage tanks. This can provide some benefit in hedging customer business, especially in products that have relatively less liquidity, such as benzene and other petrochemical feedstocks. Having some physical trading capability allows the dealer to offer a hedge to customers and hedge themselves. Physical trading of commodities includes some forward pricing that can be used to offset risk inherent in customer hedging transactions.
It is worth noting that the differences between exchange-traded and OTC products have been blurring in recent years. Now that both the New York Mercantile Exchange and the Intercontinental- Exchange are offering clearing services for OTC derivatives, it has become possible to offer a full range of risk management products to companies across the credit spectrum.
The Role of Investors
So where does that outright risk go? Here is where investors play their role. Commodity trading advisors, macro hedge funds, index funds and other types of noncommercial traders of energy derivatives step into the market and take the risk that others are seeking to shed. These traders provide that extra degree of liquidity that makes it possible for the dealers to play their role and in so doing they help reduce the cost of hedging. The net result is a multifaceted open market, in which an excess of buying or selling by corporate hedgers can be offset by dealers and speculators.
During the 1980s and into the 1990s, investors seeking exposure to commodity markets tended to trade oil and gas via futures or OTC contracts designed to look like futures. Over the past several years, some investors have chosen instead to use derivatives contracts that provide a return based on the performance of a basket of commodities, as measured by the nearby futures contracts. The amount of assets invested in such index contracts has exploded since 2001, and this has provided additional liquidity to the energy derivatives market.
For the last year or so, investors taking this approach have modified their tactics somewhat in response to the contango structure of the forward curve. Whereas previously they tended to concentrate their positions in the near months, they are now looking to purchase contracts farther out on the forward curve in order to minimize the negative effects of rolling into higher priced contracts.
Another recent development has been the rise of alternative asset management firms actively trading commodity derivatives on a discretionary basis. Many traders at these firms were trained by the banks and physical commodity traders that have long dominated the commodity derivatives markets. The instruments traded by these firms vary greatly but most involve some sort of differential between two or more prices. For example, in the oil market a broad array of traders and hedge funds trade differentials on the term structure, i.e., between December 2006 and December 2007. Such trades are typically known as spreads in the futures markets and basis swaps in the OTC markets.
In recent years, there has emerged a thriving market for basis swaps between energy products such as gasoline and heating oil, heating oil and jet fuel, and fuel oil and crude oil. Such contracts may be designed to pay based on the differences in prices of those commodities on a single day or as an average over a month or longer. There are also active markets in basis swaps on regional price differentials, especially in the natural gas market, which is severely affected by transportation bottlenecks and seasonal fluctuations in demand. The allocation of speculative capital to these markets has provided substantial additional liquidity for risk management products, and in many respects has made it possible to offer a broader slate of products to corporate risk managers.
www.futuresindustry.org
by Nicholas Dazzo
Interest in hedging energy risk is at an all-time high. Prices for most petroleum-based commodities have more than doubled since the end of 2003, and have remained at high levels for longer than many observers expected. For a wide range of businesses, the volatility of energy prices has become a major concern for top executives.
There are as many reasons to hedge as there are hedgers, but essentially the businesses that hedge energy risk break down into two categories. In the first category are the companies that are involved in the production of petroleum-based products. This includes the companies that bring oil and gas out of the ground, all the various types of companies that refine, transport and market petroleum-based products, and the many different types of petrochemical companies that make plastics, fertilizer and so on. All of these companies obviously are affected when energy prices move dramatically higher or lower.
The second category consists of companies in unrelated businesses that nevertheless are affected because of their reliance on petroleum-based products as fuel. Until recently, energy prices had been relatively benign, and the cost of energy was not high enough for many of these companies to warrant a hedge program. Interest in hedging energy risk has now picked up among these companies due to the strong and sustained appreciation of energy prices over the last two years. Although many companies are still on the sidelines considering how best to protect themselves from further shocks, it appears that more and more have completed the necessary cost-benefit analysis and are entering into hedging transactions.
Recent Trends
Transportation companies—ships, railroads, trucks, and especially airlines—are far and away the most intensive users of energy derivatives, mainly because they have the greatest relative exposures to energy prices. While some of these companies may have pulled back from hedging, given the relatively high level of current prices, for the most part active hedgers have kept their programs in place through the cycle.
In fact, recent changes in transportation practices have caused more companies to seek protection. In the last five years most freight transport companies in North America have been able to use fuel surcharges to pass higher energy costs onto their customers. So while their need to hedge energy risk has lessened, their customers are now facing unexpected increases in the prices they pay to ship their goods.
One solution for these customers is to use structured products to cap fuel surcharge exposures. For example, Koch Supply & Trading recently worked with a company looking for a way to minimize barge freight costs for its customers. Rather than passing the barge fuel surcharges onto its downstream customers, it wanted the ability to absorb the cost as a comparative advantage in its market. The solution that we provided was to use average price call options on the underlying fuel price that precisely matched the exposure to an increase in barge surcharge cost in the event of dramatically increased fuel prices. The company passed the cost of the options on to the customer in the form of a fixed increase in per-ton shipping rate. This structure eliminated the variable fuel price exposure for both the KS&T counterparty and its downstream customers.
Why Hedge?
The primary reason that most hedgers come to dealers to establish a hedge program is so that they can focus on their core competencies, and assign the job of managing energy risk to firms that specialize in that area. Suppose you are running an airline, for example. An unexpected increase in the cost of jet fuel can have a huge impact on your expenses, but does it make sense to build your own trading desk to manage that risk? Most likely your managers can add more value by concentrating on the core areas of your business. On the other hand, having the ability to mitigate that risk can be very attractive. In fact, for most airlines, a good hedge on fuel costs can more than offset the benefits of other cost controls.
Another general reason for using a hedge is to lock in a portion of the annual budget. For example, it is quite common for energy producers to use derivatives to lock in a price for a small amount of their production and assign the associated revenues to their capital expenditure budget. In this case, the hedge operates like a guarantee on a future stream of revenues. This allows the companies to demonstrate to their investors that no matter what happens to energy prices, a certain amount of funding will flow into the kinds of expenses necessary to sustain long-term growth in production.
Still another reason is to guarantee performance on some type of financing. This is typically done around an acquisition. If an oil and gas producer is making an acquisition that requires some borrowing over five to 10 years, that company can use derivatives to lock in some portion of its production. This provides some assurance to lenders that they will be repaid, even if energy prices fall well below the projected levels. Higher prices for crude oil justify paying higher multiples for companies with proven reserves in the ground, which makes it all the more important to lock in forward prices for the expected production.
Timing the Market
One question that always comes up when energy prices are relatively high is whether hedging against even higher prices makes economic sense. After all, why would a corporate risk manager lock in a price at this level if he thinks that it is about to fall?
The answer to that question depends on the likelihood not that prices will go down, but rather whether they fluctuate at all. Going back to the first reason for hedging, a corporate risk manager has to decide whether he wants to speculate on market direction. While there may be value in forecasting relative prices between various fuels, it is very difficult to forecast the outright direction of oil and gas prices. Oil and gas markets are influenced by a number of variables beyond the forecasting ability of many commercial users, and therefore it makes sense for customers to stay committed to their hedge programs throughout the ups and downs of the cycle.
It is indeed true that current prices for crude oil are close to all-time highs in nominal terms, so on a probability basis, there is every reason to expect the prices to go down. But that is exactly what people thought last year, and they now realize that they should have bought at lower prices.
Hedging activitiy has come down somewhat among the producers, but has picked up at refiners, petrochemical producers and their customers. Many of these companies did not use energy hedges in the past, but the recent volatility has had such a negative impact on their cost structure that they are now more interested and willing to use oil and gas derivatives to limit their exposure to further shocks.
A key concern for some of these companies is finding the right instrument for the hedge, since the petroleum products they use may be highly specialized and may not correspond to the standardized contracts available in the futures markets. This is where derivatives dealers step in and provide a customized hedge that protects these companies from price risk in a more targeted way.
Customization
Companies that are considering whether to establish a hedge program may wish to start with a limited program so that they can see the dampening effect on their cost structure. There is usually no reason to go from unhedged to fully hedged overnight. It is better to start on an experimental basis and understand how the program functions and how it affects income or expenses, and then consider the costs and benefits of a larger or more comprehensive program.
Corporate risk managers often rely on simple structures that can be understood up and down the chain of command. Chief among these structures are swaps or collars that provide either a fixed price or a price that floats within a band. Although some managers prefer contracts that deliver a certain amount of the underlying commodity when the contract settles, most of the time the contracts are settled in cash. The risk manager's goal is typically to have a profit or loss on their hedge position that comes as close as possible to offsetting their profit or loss on the actual physical exposure. This is not to say that all corporate risk managers hedge their entire energy risk exposures. Rather, they are seeking an offsetting position that matches the volumes they choose to hedge.
Indeed, there is an added reason to choose hedges appropriately. Accounting practices in the U.S. require that hedges be highly correlated with actual physical exposures in order for companies to match income recognition of hedges with changes in the underlying exposures. If the hedge passes the test—and this is something of an art—then the associated gains or losses can be booked against the underlying exposures, and the appreciation or depreciation that are entered for the future do not have to be recorded as current income. If on the other hand the hedge does not pass the test, the gains or losses must be treated as trading gains or losses and the entire position has to be marked to market at the end of every accounting period.
Traditional exchange-traded futures and options may not provide a sufficiently exact hedge, and for this reason, a wide range of structures has been developed in the overthe- counter markets to meet the demand for customized solutions. One of the interesting aspects of the energy derivatives market is that the types of instruments used will vary by the pricing convention of underlying physical market. Sales of crude and refined product is typically done on a monthly average basis, so average price options play a big role in hedge programs. The natural gas business, on the other hand, usually transacts on the basis of an end-of-month price, so there the demand is for standard options.
Another interesting feature of the energy derivatives market is the tremendous importance of locational differences. The price of gasoline and natural gas varies tremendously across the U.S., so there is a very significant need for swaps and options that allow customers to hedge this risk. This also applies to cross-product risk. Refiners, for example, are exposed to the so-called crack spreads between crude and the various types of products that are derived from that, and there is a very active market in crack spreads to hedge their profit margins.
Corporate risk managers also should consider ways to reduce the cost of hedging. Even within the confines of a limited program, there are structures that offer a great deal of flexibility at virtually no cost. This is not to say that the energy derivatives markets are offering a free lunch. Rather, there are ways to fund the primary hedge by selling some sort of option back into the market.
For example, suppose you determine that a $20 increase in the current price of crude oil would have such a serious impact on your profit margin that you decide to buy calls at that upper price to provide some protection. One strategy would be to simply pay for them upfront, which would be equivalent to buying insurance. Another strategy would be to fund the cost of buying those calls by selling puts at a much lower level. If the price does rise by $20 or more, you receive cash based on the movement from the strike price. If on the other hand the price falls and you have to pay out on the puts that you sold, the cost of fulfilling those contracts will be offset by the increased profitability of your core business. This strategy is effectively a trade-off; you are giving up the potential gain if prices fall below a certain level in return for receiving the premiums on the sale of the puts, which in turn helps offset the cost of the calls.
Corporate risk managers also should consider the potential cash flow issues associated with the use of derivatives. If a company has entered a transaction involving swaps or the sale of options, it may be required to post collateral against the hedge if there is an adverse move in market prices, or if the company's credit rating falls below a certain level. (The purchase of options requires only the upfront payment of a premium.) Risk managers therefore need to be aware of the potential cash flow implications if their hedges lose a substantial portion of their value.
The Role of Dealers
None of this would be possible, of course, without the dealer community and the deep and liquid markets for these derivatives. The role of dealers such as KS&T is that they customize the hedges so that they fit a particular need. A crude oil swap, for example, can be customized by quality, location, term, and manner of settlement. This does not mean that the dealers absorb all of the risks transferred by their customers. Rather, they use the available instruments in the derivatives markets— both OTC and listed—to offset portions of these risks.
Typically the outright risks are laid off into the markets, and the basis risks—the differentials between the more standardized products that trade in the markets and the specific characteristics of the products that are sold to the customers—are absorbed by the dealers. So a dealer providing risk management on diesel prices, for example, will probably seek to shed outright price risk on crude, probably on the same day that the hedge is sold to the customer. The risk on the differential between crude and diesel prices stays with the dealer, and therein lies a whole lot of positioning.
Unlike their customers, the dealers own a diversified portfolio of basis risks, and their customers represent a cross-section of corporate risk managers. The dealers are effectively managing a portfolio of risks, with the risk of any one customer reduced through the effects of diversification, and with the outright risk laid off into the markets.
Some dealers also are involved in the physical market through ownership or operation of various assets, such as pipelines and storage tanks. This can provide some benefit in hedging customer business, especially in products that have relatively less liquidity, such as benzene and other petrochemical feedstocks. Having some physical trading capability allows the dealer to offer a hedge to customers and hedge themselves. Physical trading of commodities includes some forward pricing that can be used to offset risk inherent in customer hedging transactions.
It is worth noting that the differences between exchange-traded and OTC products have been blurring in recent years. Now that both the New York Mercantile Exchange and the Intercontinental- Exchange are offering clearing services for OTC derivatives, it has become possible to offer a full range of risk management products to companies across the credit spectrum.
The Role of Investors
So where does that outright risk go? Here is where investors play their role. Commodity trading advisors, macro hedge funds, index funds and other types of noncommercial traders of energy derivatives step into the market and take the risk that others are seeking to shed. These traders provide that extra degree of liquidity that makes it possible for the dealers to play their role and in so doing they help reduce the cost of hedging. The net result is a multifaceted open market, in which an excess of buying or selling by corporate hedgers can be offset by dealers and speculators.
During the 1980s and into the 1990s, investors seeking exposure to commodity markets tended to trade oil and gas via futures or OTC contracts designed to look like futures. Over the past several years, some investors have chosen instead to use derivatives contracts that provide a return based on the performance of a basket of commodities, as measured by the nearby futures contracts. The amount of assets invested in such index contracts has exploded since 2001, and this has provided additional liquidity to the energy derivatives market.
For the last year or so, investors taking this approach have modified their tactics somewhat in response to the contango structure of the forward curve. Whereas previously they tended to concentrate their positions in the near months, they are now looking to purchase contracts farther out on the forward curve in order to minimize the negative effects of rolling into higher priced contracts.
Another recent development has been the rise of alternative asset management firms actively trading commodity derivatives on a discretionary basis. Many traders at these firms were trained by the banks and physical commodity traders that have long dominated the commodity derivatives markets. The instruments traded by these firms vary greatly but most involve some sort of differential between two or more prices. For example, in the oil market a broad array of traders and hedge funds trade differentials on the term structure, i.e., between December 2006 and December 2007. Such trades are typically known as spreads in the futures markets and basis swaps in the OTC markets.
In recent years, there has emerged a thriving market for basis swaps between energy products such as gasoline and heating oil, heating oil and jet fuel, and fuel oil and crude oil. Such contracts may be designed to pay based on the differences in prices of those commodities on a single day or as an average over a month or longer. There are also active markets in basis swaps on regional price differentials, especially in the natural gas market, which is severely affected by transportation bottlenecks and seasonal fluctuations in demand. The allocation of speculative capital to these markets has provided substantial additional liquidity for risk management products, and in many respects has made it possible to offer a broader slate of products to corporate risk managers.
www.futuresindustry.org
tontolina
Forumer storico
Il presunto bear market del petrolio
di Gaetano Evangelista - 18/09/2006
Dal punto di vista quantitativo, il calo delle quotazioni del greggio delle ultime settimane ha assunto le proporzioni tipiche sperimentate negli ultimi quattro lustri: nove chiusure negative nelle ultime dieci sedute, sette chiusure settimanali nelle ultime nove e una perdita maggiore del 15% in sei settimane.
Sono questi i parametri adottati in una ricerca effettuata sulla serie storica del greggio varietà "WTI", dal 1986 in poi. Vent'anni in cui questi elementi sono ricorsi diverse volte, tanto da permettere di giungere ad alcune conclusioni circa la tendenza più probabile per le prossime settimane.
Va subito anticipato che a differenza di altre analisi quantitativo-statistiche di questo tipo, non vi è unanimità "di consensi", sebbene ovunque emerge la probabile tendenza al recupero. Lascia in qualche modo delusi la frequenza passata di un rialzo in circostanze simili, il che fa dubitare non tanto della probabilità che vi sia un marcato rialzo da qui all'autunno, ma che vi possa non essere una estensione del ribasso.
I. Nove chiusure negative nelle ultime dieci sedute.
E' una piccola bugia: in effetti nelle ultime dieci sedute il WTI è riuscito a chiudere per due volte in territorio positivo, l'ultima proprio venerdì scorso. Ma l'esiguità della variazione percentuale - vicina di fatto allo zero - suggerisce l'opportunità di verificare cosa è successo in passato in occasione di nove chiusure negative nell'arco di due settimane.
Questa è la casistica dal 1986 in poi:
Questa statistica è particolarmente forte nel puntare su questa settimana per un rifiatamento delle quotazioni. In circostanze simili a quella delle ultime due settimane, il greggio è risalito in 9 casi su 11 complessivi, e mediamente per il 3.64%. E' da notare però che la performance e la frequenza si raffreddano a distanza di uno e due mesi. In altre parole, un rally correttivo nei prossimi giorni ha qualche probabilità di essere seguito da una "ricaduta".
II. Sette chiusure settimanali negative nelle ultime nove
Se ragioniamo in termini di lungo periodo, notiamo che il greggio ha chiuso in territorio negativo in sette delle ultime nove settimane. La tabella qui in basso mostra la casistica degli ultimi quattro lustri:
Qui come si può notare dopo una settimana il bilancio è di poco positivo in termini di frequenza (7 su 13), ed è curioso come la probabilità di incorrere in una variazione positiva sia stata la medesima a distanza di cinque settimane (praticamente un mese) e di 13 settimane (tre mesi). Anche qui si ha insomma la sensazione che un rimbalzo possa essere seguito da un successivo ridimensionamento ed eventualmente da un nuovo test dei minimi.
III. Perdita <-15% in sei settimane
In questo caso la casistica è più ampia - ben 19 ricorrenze dal 1986 in poi - e permette di pervenire più serenamente alle conclusioni. Che però non cambiano rispetto alle due analisi precedenti: ci sono buone probabilità di un recupero nella settimana corrente, ma non sono schiaccianti in termini statistici. La probabilità è la medesima a distanza di uno e tre mesi, con la variazione percentuale che migliora.
Insomma, sul piano strettamente statistico, si può confidare su un rimbalzo nei prossimi giorni, ma non è detto che sia l'inizio di una definitiva inversione di tendenza. E quindi da questo punto di vista non si può concludere che il presunto bear market del petrolio sia tale, o meno. Occorrerà aspettare la fine del mese, e verificare il livello raggiunto dalle quotazioni. A quel punto l'ultima parola spetterà all'analisi tecnica convenzionale.
Nel Rapporto Giornaliero di oggi, in quello di venerdì e in generale negli ultimi giorni, è stato compiuto un notevole sforzo analitico finalizzato a delineare gli scenari più probabili per i prossimi mesi per questa preziosa risorsa.
http://www.smarttrading.it/default.asp?idlingua=1&idContenuto=2916
di Gaetano Evangelista - 18/09/2006
Dal punto di vista quantitativo, il calo delle quotazioni del greggio delle ultime settimane ha assunto le proporzioni tipiche sperimentate negli ultimi quattro lustri: nove chiusure negative nelle ultime dieci sedute, sette chiusure settimanali nelle ultime nove e una perdita maggiore del 15% in sei settimane.
Sono questi i parametri adottati in una ricerca effettuata sulla serie storica del greggio varietà "WTI", dal 1986 in poi. Vent'anni in cui questi elementi sono ricorsi diverse volte, tanto da permettere di giungere ad alcune conclusioni circa la tendenza più probabile per le prossime settimane.
Va subito anticipato che a differenza di altre analisi quantitativo-statistiche di questo tipo, non vi è unanimità "di consensi", sebbene ovunque emerge la probabile tendenza al recupero. Lascia in qualche modo delusi la frequenza passata di un rialzo in circostanze simili, il che fa dubitare non tanto della probabilità che vi sia un marcato rialzo da qui all'autunno, ma che vi possa non essere una estensione del ribasso.
I. Nove chiusure negative nelle ultime dieci sedute.
E' una piccola bugia: in effetti nelle ultime dieci sedute il WTI è riuscito a chiudere per due volte in territorio positivo, l'ultima proprio venerdì scorso. Ma l'esiguità della variazione percentuale - vicina di fatto allo zero - suggerisce l'opportunità di verificare cosa è successo in passato in occasione di nove chiusure negative nell'arco di due settimane.
Questa è la casistica dal 1986 in poi:
Questa statistica è particolarmente forte nel puntare su questa settimana per un rifiatamento delle quotazioni. In circostanze simili a quella delle ultime due settimane, il greggio è risalito in 9 casi su 11 complessivi, e mediamente per il 3.64%. E' da notare però che la performance e la frequenza si raffreddano a distanza di uno e due mesi. In altre parole, un rally correttivo nei prossimi giorni ha qualche probabilità di essere seguito da una "ricaduta".
II. Sette chiusure settimanali negative nelle ultime nove
Se ragioniamo in termini di lungo periodo, notiamo che il greggio ha chiuso in territorio negativo in sette delle ultime nove settimane. La tabella qui in basso mostra la casistica degli ultimi quattro lustri:
Qui come si può notare dopo una settimana il bilancio è di poco positivo in termini di frequenza (7 su 13), ed è curioso come la probabilità di incorrere in una variazione positiva sia stata la medesima a distanza di cinque settimane (praticamente un mese) e di 13 settimane (tre mesi). Anche qui si ha insomma la sensazione che un rimbalzo possa essere seguito da un successivo ridimensionamento ed eventualmente da un nuovo test dei minimi.
III. Perdita <-15% in sei settimane
In questo caso la casistica è più ampia - ben 19 ricorrenze dal 1986 in poi - e permette di pervenire più serenamente alle conclusioni. Che però non cambiano rispetto alle due analisi precedenti: ci sono buone probabilità di un recupero nella settimana corrente, ma non sono schiaccianti in termini statistici. La probabilità è la medesima a distanza di uno e tre mesi, con la variazione percentuale che migliora.
Insomma, sul piano strettamente statistico, si può confidare su un rimbalzo nei prossimi giorni, ma non è detto che sia l'inizio di una definitiva inversione di tendenza. E quindi da questo punto di vista non si può concludere che il presunto bear market del petrolio sia tale, o meno. Occorrerà aspettare la fine del mese, e verificare il livello raggiunto dalle quotazioni. A quel punto l'ultima parola spetterà all'analisi tecnica convenzionale.
Nel Rapporto Giornaliero di oggi, in quello di venerdì e in generale negli ultimi giorni, è stato compiuto un notevole sforzo analitico finalizzato a delineare gli scenari più probabili per i prossimi mesi per questa preziosa risorsa.
http://www.smarttrading.it/default.asp?idlingua=1&idContenuto=2916
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