Spark Spread

Key words: ISO, RTO, ERCOT, CAISO, NYISO, MISO, ISO-NE, SPP, PJM, electricity spot, US spark, dark spark, dirty spark, heat rate, tolling agreement Similar to the Crack and Frac spreads, the spark spread has developed in the electricity markets. In the United States there are two organization responsible for electricity markets, regional transmission organization (RTO)…

Frac Spread

Key words: natural gas liquids, NGL, fractionation spreads, frac, keep whole contracts, percentage of proceeds contracts, fee-based contracts Similar to the Crack spread, the frac spread has developed in the gas markets. There are primary three sources of raw gas. Gas produced from a gas field called none associated gas. Secondly, associated gas produced as…

Crack Spread

Key words: Intercommodity spread, intracommodity and intermarket spreads, energy spread, crack spread, long the crack, 3:2:1 spread, WTI vs. Brent, Gasoline, Heating oil Spread trading is the simultaneous purchase and sale of two financial assets. This kind of trading is a very important part of the future markets; especially it is commonly used on the…

Commodity Swaps

Key words: fix-float, float-float swaps, oil swap, striplets, quanto, commodity swaps Key words: fix-float, float-float swaps, oil swap, striplets, quanto, commodity swaps When writing about commodity swaps, a key component over the last decades has been the colossal development of interest rate markets, namely swaps. Swaps are simple form of derivative instruments where two counterparty…

Pricing domestic & eurobond issues using bond, swap & FX curves

Key words: bond, pricing, eurobond, yield, foreign currency, cash flow conversion, curves, FX, forwards, swap, interest rate, fixed income A typical objective in Debt Capital Markets (DCM) is to identify the cost of borrowings (i.e. coupon level) for corporate clients or oneself in multiple geographies. This article describes a straightforward approach to deriving indicative coupon…

Derivatives Market

I found very interesting to read (from CME site) published information by BIS about the size of the derivative market. The Bank for International Settlements compiles and publishes information about the total over-the-counter and exchange traded derivatives positions. Even if there is a big fallacy to estimate the market by taking into account notional ammount,…

GBP/JPY

Key words: Forex trading, trading methods, technical analysis, follow trend, fundamental analysis, GBP/JPY,averaging I believe there are a lot of methods to evaluate and select potentially profitable trades. All methods are divided into fundamental and technical analysis (also applying math). Fundamental and Technical analysis provide different approaches to analyze financial markets but a main goal…

Spread: Brent and WTI

After hitting $24.79 on December 13, 2012, the WTI-Brent price differential tightened to $8.35 on April 2013. Many traders bet the spread would narrow in 2011/2012. Movement in the spread has been volatile since 2010 when the price started to increase and topped at $29.59 on september 2011. Now, the spread is less volatile, so…

ETN or ETF?

Exchange traded notes (ETN) are structured investments linked to market instruments such as market Indices, Commodity, Currency, Emerging Markets, Fixed Income, Leveraged products and Strategies. Introduced on June 12, 2006 by Barclays Bank, the first ETNs named iPath, was issued as unsecured debt which means such notes don’t own anything while ETFs represent a stake…

Global Industry Classification Standard (GICS)

Global Industry Classification Standard (GICS) was developed by Morgan Stanley Capital International (MSCI) and S&P to enhance research and investment process and to classify a company according to its principal business activity. GICS consists of 10 sectors, 24 industry groups. There are also industries and sub-industries introduced in GICS methodology to fine tune all business…